Chair of Financial Econometrics

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Time Series Analysis

Lecture (Wohlrabe)

Tuesday 2 p.m. - 6 p.m., Edmund-Rumpler-Straße 13 - Room B 257

Tutorial (A. Fuest)

Friday 4 p.m. - 8 p.m., Theresienstraße 39 (B) - Room B 046



  • Shumway, R. H., Stoffer, D. S., Time Series Analysis and Its Applications (2nd edition), New York: Springer-Verlag, 2006

  • Brockwell, P.J., Davis, R.A., Introduction to Time Series and Forecasting (2nd edition), New York: Springer-Verlag, 2002

  • Brockwell, P.J., Davis, R.A., Time Series: Theory and Methods (2nd edition), New York:Springer-Verlag, 1987

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

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