Time Series Analysis
Announcements:
Results of the retake exam are now uploaded in moodle, see link below.
Retake exam (6 ECTS, Second Date):
Date: 10.10.2019
Time: 14:00 - 16:00
Location: Geschw.-Scholl-Pl. 1 (A) - A 240
Duration: 120 minutes
Permitted writing aids: A not programable calculator, as well as a handwritten DIN A4 crib sheet with formulas on both sides (1 sheet (2 pages) of DIN A4 paper). The crib sheet needs to be handed in together with the exam.
Please bring ID card and student card for identification!
Lecture and Tutorials
First half of the summer term - until June 04.
Dates:
| Lecture | Tuesday (from April 23) | 2 - 6 p.m c.t. | A 015 | Geschw.-Scholl-Pl. 1 (A) | K. Wohlrabe |
| Tutorial | Monday (from April 29) | 4 - 8 p.m. c.t. | D 209 | Geschw.-Scholl-Pl. 1 (A) | D. Mao |
Lecture and tutorial in English.
Course information:
All relevant material and information regarding the course can be accessed through Moodle.
The password required to enroll into the Moodle course will be announced in lectures and exercises.
Time Schedule:
| 23.04.2019 | Lecture | K. Wohlrabe |
| 29.04.2019 | Exercise Session: Sheet 1 | D. Mao |
| 30.04.2019 | LECTURE CANCELLED | |
| 06.05.2019 | EXERCISE SESSION CANCELLED |
|
| 07.05.2019 | Lecture | K. Wohlrabe |
| 13.05.2019 | Exercise Session: Sheet 2 | D. Mao |
| 14.05.2019 | Lecture | K. Wohlrabe |
| 20.05.2019 | Exercise Session: Sheet 3 | D. Mao |
| 21.05.2019 | Lecture | K. Wohlrabe |
| 27.05.2019 | Exercise Session: Sheet 4 | D. Mao |
| 28.05.2019 | Lecture | K. Wohlrabe |
| 03.06.2019 | Exercise Session: Sheet 5 | D. Mao |
| 07.06.2019, 4 p.m. - 6 p.m. | Exam | |
| 11.10.2019 | Exam (second date) |
Topics:
- Overview
- Fundamentals and Properties of Stochastic Processes
- Univariate ARIMA-Processes
- Estimation and Forecasting of ARIMA-Models
- Univariate GARCH-Models + Extensions
- Selected aspects: Long Memory und Fractional Differencing, Threshold-Models
Intended audience: Advanced bachelor and master students of statistics, mathematics, informatics, economics and business administration.
Prerequisites: Solid mathematical foundations (analysis and linear algebra), basic knowledge in econometrics (econometrics 1) or statistics (linear models).
Certification: Exam in the middle of the summer term, 6 ECTS credits.
Exam (6 ECTS)
Date: 07.06.2019
Time: 4 p.m. - 6 p.m.
Location: Geschw.-Scholl-Pl. 1 (A) - A 240
Location: Geschw.-Scholl-Pl. 1 (A) - M 201 (Students with writing time extension)
Duration: 120 minutes
Registration: Please register for the examination by filling out the registration form in moodle until here. Registration period ends on the 05th June 2019.
Permitted writing aids: A not programable calculator, as well as a handwritten DIN A4 crib sheet with formulas on both sides (1 sheet (2 pages) of DIN A4 paper). The crib sheet needs to be handed in together with the exam.
Please bring your ID card and student card for identification! Students with writing time extension are supposed to bring the corresponding permissions additionaly.
Literature
- 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
- Tsay, R.S., An Introduction to Analysis of Financial Data with R, Wiley, 2013
R-Links
- General information on R: The R Project for Statistical Computing
- Download and setup of R: The Comprehensive R Archive Network (CRAN)
- Help files for R: R Help, see this link: R Coding Conventions
- Editor for R: Tinn-R