Multivariate Time Series Analysis
Lecture (Mittnik)
Tuesday 2 p.m. - 6 p.m., Amalienstr. 73 - Room 110
Tutorial (Spanhel)
Friday 4 p.m. - 8 p.m., Theresienstraße 39 (B) - Room B 005
Topics:
- Overview
- ARMA processes
- Estimation
- Prediction
- Structural analysis
- Modeling nonstationary time series
- Modeling time-varying parameters
- GARCH
Literature:
- Lütkepohl, H., New Introduction to Multiple Time Series Analysis, New York: Springer-Verlag, 2005
- 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