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: 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.
