S411 Advanced Time Series in Economics and Finance
| Lecturer | Dr. Thomas Dimpfl |
| Profiles | First year Master |
| Prerequisites | Bachelor level exposure to Econometrics/Time Series Analysis |
| Language | English |
| Time and Place | Monday 10 a.m. - noon, c.t. - Mohlstraße 36, E03 (neu) Wednesday 10 a.m. - noon, c.t. - practical class in PC lab (from October 30) The first lecture takes place on Tuesday, October 15, 2013! |
| Exam | written exam and assignments |
| Credit Points | 9 ECTS |
Literature
Hamilton J.: Time Series Analysis, Princeton University Press, 1994
Hayashi F.: Econometrics, Princeton University Press, 2000
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.