122191 Quantitative Methods I

Lehrende: Prof. Dr. Franziska Julia Peter

Veranstaltungsart: Seminar und Vorlesung

Orga-Einheit: Corporate Management & Economics

Anzeige im Stundenplan: Quan. M. I

Semesterwochenstunden: 3

Credits: 6,0
Hinweis: In Ihrer Prüfungsordnung können abweichende Credits festgelegt sein.

Standort: Campus der Zeppelin Universität

Unterrichtssprache: Englisch

Min. | Max. Teilnehmerzahl: 10 | 35

Prioritätsschema: Standard-Priorisierung

Inhalte:
Inhalte:
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) + Poster  Präsentation

Literatur:
Analysis of Financial Time Series, 3rd Edition, Ruey S. Tsay, Wiley, 2010.