Univariate Time Series Analysis
Announcements
The lecture will be entirely taught online via Moodle and Zoom.
Syllabus
- 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).
Teaching Style: Online via Zoom and Moodle
Examination: (written) Exam
Record of Achievement: 6 ECTS
Time Schedule
The lectures and tutorials take place between 21.04.2020 (first lecture) and 09.06.2020.
| Lecture | Tuesday | 2-6 p.m. c.t. | Dr. Klaus Wohlrabe |
| Tutorial | Monday | 4-8 p.m. c.t. | Dennis Mao |
All relevant material and information regarding the course can be accessed through Moodle