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Instructors: Prof. Dr. Franziska Julia Peter
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:
Applied Time Series in Economics and Finance
Topics of the course include:
- Introduction and Basic Concepts:
ergodicity and stationarity; autocorrelation
- Univariate Stationary Processes
ARMA processes forecast evaluation seasonality
-Nonstationary Processes
trends; unit root; impulse response
-Models for Volatility:
GARCH models
-Introduction to Vector Autoregressive Models
Lernziele:
Lernziele:
By the end of the course you should be able to perform the following tasks:
-choose a suitable statistical model for time series data on the basis of statistical tests and acquired experience;
- fit models to time series data;
- assess the relative performance of various models using statistical tools;
- produce accurate forecasts and evaluate those.
Weitere Informationen zu den Prüfungsleistungen:
Midterm (Klausur) + Präsentation
Literatur:
Analysis of Financial Time Series, 3rd Edition, Ruey S. Tsay, Wiley, 2010.
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