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Multivariate Time Series Analysis

Lecture and Tutorial

Lecture (Mittnik)

Tue 2 p.m. - 6 p.m., Edmund-Rumpler-Strasse 9  Room 027

June 21 -  July 26, 2011

Übung (Spanhel)

Fri 4:00 p.m. - 8:00 p.m., Geschwister-Scholl-Platz 1 (A) - A U115

June 27 - July 29, 2011


  1. Overview
  2. ARMA processes
  3. Estimation
  4. Prediction
  5. Structural analysis
  6. Modeling nonstationary time series
  7. Modeling time-varying parameters
  8. GARCH


The first lecture will be on June 21, since June 14 is a recess day. The date of the first tutorial is still June 17, that is, the first tutorial will take place before the first lecture!.

Target audience: Advanced and doctoral students in economics, business, statistics, mathematics and computer science.

Prerequisites: Working knowledge in mathematics (especially matrix algebra) and econometrics (Econometrics I) or statistics (linear models). Knowledge of univariate time series analysis is not a prerequisite  but an advantage.

Schein: Passing written exam(s).

Informations for Statisticians regarding the "Schein":

The first part of the lecture „Multivariate Time Series Analysis“ is equivalent to the lecture „Multivariate Zeitreihen“ (3 ECTS-Credits) for statisticians; the second part can be recognised as „Ausgewählte Gebiete der theoretischen Statistik“ (3 ECTS-Credits). There will be an one-hour exam for each part.

Information for Ph.D. candidates in economics:

This course is equivalent to "Time-Series Econometrics" and counts as a Ph.D. class. The exam covers both one-hour exams for each part.


Most useful textbook for course:

Lütkepohl, H., New Introduction to Multiple Time Series Analysis, New York: Springer-Verlag, 2005

Additional useful textbooks:

Brockwell, P. J. and Davis, R. A. (1987), Time Series: Theory and Methods (2nd edition)

Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press

Lütkepohl, H., Krätzig, M. (2004), Applied Time Series Econometrics, Cambridge University Press

Rinne, H. and Specht, K. (2002), Statistische Modellierung, Schätzung und Prognose, Vahlen

Tsay, R. S. (2005), Analysis of Financial Time Series (2nd edition), Wiley-Interscience

Wei, W. W. S.(2005), Time Series Analysis: Univariate and Multivariate Methods (2nd edition), Addison-Wesley


Exercise Sheets: