undergraduate Mathematics I and II and Statistics I and II
Language
English
Time and Place
Wednesday, 10:15 - 11:45 a.m. Übungsraum E 04, Mohlstr. 36
Exam
120 Minutes (oral exam possilble)
Credit Points
6
Content
1. Introduction: Time Series in Economics and Finance 2. Univariate Time Series Modelling (ARMA, GARCH) 3. Multivariate Time Series (Vector Autoregressions and Cointegration)
Literature
Enders W. (1995): Applied Econometric Time Series, John Wiley and Sons. Hamilton J.(1994): Time Series Analysis, Princeton University Press.
Practical class
Practical exercises for material covered in lecture "Time Series Analysis"