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Instructors: Thomas Heil
Event type:
Seminar and lecture
Org-unit: Corporate Management & Economics
Displayed in timetable as:
Quan. M. I
Hours per week:
3
Credits:
6,0
Note: In your exam regulations, differing credits may have been specified.
Location:
Campus der Zeppelin Universität
Language of instruction:
Englisch
Min. | Max. participants:
10 | 35
Priority scheme: Standard-Priorisierung
Course content:
This course has the aim to provide students with basic and advanced knowledge in quantitative/empirical methods.
This knowledge should give the students the ability to apply the learned methods to own research projects.
The focus is herby especially on quantitative economic methods and therefore the analysis of (financial) time series is a core element.
However, to draw interest from a broader crowd of students covers the first part of the course basics in descriptive statistics and inference statistics.
Content:
First Part: General Quantitative Methods
- Descriptive Statistics
- Inference Statistics
- Linear Regression
Second Part: Univariate Time Series
- Basic Concepts in Time Series
- Univariate Stationary Processes, Overview
- Properties and Estimation Strategies (AR, MA, ARMA)
- Nonstationary Univariate Time Series and Cointegration
- (Models for Volatility)
Third Part: Multivariate (stationary) Time Series
- Vector Autoregression (VAR)
- Simultaneity and Identification
- Impulse Responses
Educational objective:
By the end of the course you should be able to perform the following tasks:
- perform descriptive statistics to gain knowledge about your data
- choose a suitable statistical model for the time series at hand
- fit models to time series data
- produce accurate forecasts and evaluate those
- gain insights to multivariate time series models
Mandatory literature:
- Analysis of Financial Time Series, 3rd Edition, Ruey S. Tsay, Wiley, 2010
- Introduction to Modern Time Series Analysis, Kirchgässner and Wolters, Springer, 2007
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