Univariate Time Series Analysis
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 (calculus and linear algebra), basic knowledge in econometrics (econometrics 1) or statistics (linear models). Sound knowledge in probability theory.
Teaching Style: tba
Examination: (written) Exam or online homework assignment
Record of Achievement: 6 ECTS
Time Schedule
| 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