S411 Advanced Time Series in Economics and Finance
| Lecturer | Prof. Dr. J. Grammig |
| Profiles | First year Master |
| Prerequisites | Bachelor level exposure to Econometrics/Time Series Analysis |
| Language | English |
| Time and Place | Monday noon -2 p.m., c.t. Tuesday 10 a.m. - noon, c.t. |
| Exam | written exam and assignments |
| Credit Points | 9 ECTS |
Literature
Hamilton J.: Time Series Analysis, Princeton University Press, 1994
Content
Rigorous treatment of state-of-the art univariate and multivariate time series methods used in economics and finance. Thorough treatment of autoregressive moving average (ARMA) models. Forecasting. Regression analysis with stationary
time series. Non-stationary processes. Structural Vector-Autoregressive Models and Cointegration. Equilibrium Correction models. Johansen methodology. Applications of time series methods in macroeconomics and finance. Modeling conditional heteroskedasticity in financial time series. Newer developments. Applications use GAUSS in practical class in PC lab.