Seminar für Finanzökonometrie
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Time Series Analysis

Lecture and Tutorials

First half of the summer term - until May 24, 2016.

Dates

Lecture Tuesday (from April 12) 2 - 6 p.m   c.t. M 001 Geschw.-Scholl-Pl. 1 (M) K. Wohlrabe
Tutorial I Monday (from April 18) 4 - 8 p.m.  s.t. A 015 Geschw.-Scholl-Pl. 1 (A) M. Kurz & E. Heller
Tutorial II Friday (from April 15) 4 - 8 p.m.  s.t. A 015 Geschw.-Scholl-Pl. 1 (A) M. Kurz & E. Heller

Regarding the tutorial we offer two dates of your choice (same content).

Lecture and tutorial in English.

News:

The final exam (second date) will take place on Wednesday, 19-Oct-2016, 16:00-18:00, room E 216, Geschw.-Scholl-Pl. 1. Participants do not have to register in advance. However, you are only allowed to take the exam if you attended and did not pass (grade 5) the first exam in May 2016.

The final exam will take place on Monday, 30-May-2016, 16:00-18:00, room B 052 (Arnold Sommerfeld), Theresienstr. 39. The registration in Moodle is open till 24-May-2016.


Course information

All relevant material and information regarding the course can be accessed through Moodle.

Instructions on how to log in to Moodle can be found here.

The password required to enroll into the Moodle course will be announced in lectures and exercises.


Skript (Lecture)

The password required for downloads is the same as mentioned above.  The script will be supplemented and you will find the updates below:

Script (Chapter 1-2)

Script (Chapter 1-4)

Script (Chapter 5)

Script (Chapter 6)

Script (Chapter 7 & 8)

Data Sets

data sets_2016-04-26

Time Schedule:

Tue. 12-Apr-2016, 2 p.m. - 6 p.m. Lecture K. Wohlrabe
Fri. 15-Apr-2016, 4 p.m. - 8 p.m. Exercise Session (CANCELED) E. Heller
Mon. 18-Apr-2016, 4 p.m. - 8 p.m. Exercise Session (CANCELED) E. Heller
Tue. 19-Apr-2016, 2 p.m. - 6 p.m. Lecture K. Wohlrabe
Fri. 22-Apr-2016, 4 p.m. - 8 p.m. Exercise Session: Sheet 1 M. Kurz
Mon. 25-Apr-2016, 4 p.m. - 8 p.m. Exercise Session: Sheet 1 M. Kurz
Tue. 26-Apr-2016, 2 p.m. - 6 p.m. Lecture K. Wohlrabe
Fri. 29-Apr-2016, 4 p.m. - 8 p.m. Exercise Session: Sheet 2 M. Kurz
Mon. 02-May-2016, 4 p.m. - 8 p.m. Exercise Session: Sheet 2 M. Kurz
Tue. 03-May-2016, 2 p.m. - 6 p.m. Lecture K. Wohlrabe
Fri. 06-May-2016, 4 p.m. - 8 p.m. Exercise Session: Sheet 3 M. Kurz
Mon. 09-May-2016, 4 p.m. - 8 p.m. Exercise Session: Sheet 3 M. Kurz
Tue. 10-May-2016, 2 p.m. - 6 p.m. Lecture K. Wohlrabe
Fri. 13-May-2016, 4 p.m. - 8 p.m. Exercise Session: Sheet 4 E. Heller
Mon. 16-May-2016 Feiertag
Tue. 17-May-2016 Feiertag
Fri. 20-May-2016, 4 p.m. - 8 p.m. Exercise Session: Sheet 4 E. Heller
Mon. 23-May-2016, 4 p.m. - 8 p.m. Exercise Session: Sheet 5 E. Heller
Tue. 24-May-2016, 2 p.m. - 6 p.m. Lecture K. Wohlrabe
Mon. 30-May-2016 Exam
Wed. 19-Oct-2016 Exam (second date)

 

 Topics:

  1. Overview
  2. Fundamentals and properties of stochastic processes
  3. Univariate ARIMA-Processes
  4. Estimation and forecasting of ARIMA-Models
  5. Univariate GARCH-Models + extensions
  6. 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 (second date; 6 ECTS):

Date: Wednesday, 19-Oct-2016

Time: 16:00 (s.t.) - 18:00

Location: Geschw.-Scholl-Pl. 1, room E 216

Duration: 120 minutes

Exam (6 ECTS):

Date: Monday, 30-May-2016

Time: 16:00 (s.t.) - 18:00

Location: Theresienstr. 39 - Arnold Sommerfeld (B 052)

Duration: 120 minutes

Registration: Please register for the examination by filling out the registration form in moodle until 24-May-2016

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!

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

Downloads