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Time Series Analysis

Lecture  (Klaus Wohlrabe)

starting 08.04., Tuesday 2 p.m. - 6 p.m., c.t., Amalienstr. 73(A), Raum A 112

You may choose between two dates for the tutorial (both tutorials offer the same content):

Tutorial (Malte Kurz)

starting 14.04., Monday 4 p.m. - 8 p.m., s.t., Geschw.-Scholl-Pl. 1 (E), Room E 216

Tutorial (Andreas Fuest):

starting 25.04., Friday 4 p.m. - 8 p.m., s.t., Amalienstr. 52 (K), Room K 401

Lecture and Tutorial in English.


Please find downloadable Scripts as well as the access to the moodle class on the German Homepage. The password will be announced during the first lecture/tutorial.


  1. Overview
  2. Basic Concepts in Stochastic Processes
  3. Univariate ARIMA Processes
  4. Estimation and Prediction for ARIMA Models
  5. Univariate GARCH Models
  6. Selected Topics

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

Prerequisites: Working knowledge of mathematics (analysis, linear algebra) , basic knowledge of econometrics (econometrics I) or statistics (linear models).

Record of achievement: 6 ECTS-Credits or "Schein" for passing a written exam at the end of the term.


  • 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


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