S411 Advanced Time Series in Economics and Finance
| Lecturer | Prof. Dr. J. Grammig and Dr. Thomas Dimpfl |
| Profiles | First year Master |
| Prerequisites | Bachelor level exposure to Econometrics/Time Series Analysis |
| Language | English |
| Time and Place | Monday 12-14, c.t. Kupferbau: HS23 Tuesday 10-12, c.t. Kupferbau: HS23 |
| Practical class | Group 1: Monday 8-10, c.t. PC-lab Group 2: Monday 10-12, c.t. PC-lab (Group 3: Monday 14-16, c.t. PC-lab) |
| Exam | written exam and assignments |
| Credit Points | 9 ECTS |
| Start of the lecture | 12-10-2015 |
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.
Practical class
Detailed information on the practical class will be give in the first lecture. There will be no practical class in the first week of the winter term.