Lehrende: Prof. Dr. Franziska Julia Peter
Veranstaltungsart: Seminar / Übung
Orga-Einheit: Graduate School | ZUGS
Anzeige im Stundenplan: Adv. Econometrics
Credits: 4,0
Standort: Campus der Zeppelin Universität
Unterrichtssprache: Englisch
Min. | Max. Teilnehmerzahl: 8 | 12
Inhalte: This seminar was postponed in Spring 17. Topics: Part 1: Advanced Time Series Analysis: Vector Autoregressive Models, Markov Switching Models Part 2: Models for Irregularly Spaced data: Point Processes, Autoregressive Conditional Duration Models, Autoregressive Conditional Intensity Models This PhD course deals with advanced methods in time series econometrics. The first part will include an introduction to advanced time series models, such as Vector Autoregressive Models and then continue with a focus on Markov Switching VAR models. The second part will contain an introduction to point processes and Autoregressive Conditional Duration Models as well as Intensity Based models. We will then discuss empirical applications of these methods and implement some of them with statistical software (probably R). We will also discuss research papers which use these methods to empirical analyze financial data.
Literatur: Hans-martin Krolzig: Markov Switching Vector Autoregressions, Springer 1997 Nikolaus Hautsch: Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models, Springer 2004
