MA-WW-ERG-1909a/ D-WW-ERG-1909a - Time Series Econometrics
Chair | Quantitative Methods, esp. Econometrics | |
Lecturer |
Prof. Dr. Bernhard Schipp |
|
Objectives & Content |
Various models for time-series data are being presented on the basis of the concept of stochastic processes. The first part of the class discusses univariate linear time-series models (AR(p), MA(q), ARMA(p,q), ARIMA(p,d,q), ARFIMA (p,d,q)). The second part then presents GARCH-class models for time-dependent variability. It also examines tests and estimation methods in connection with return distributions of financial assets. Also multivariate time-series models with VAR components and error correction mechanisms are discussed. Finally, the course examines the concept of the cointegration, periodicity of time series and models in continuous time. |
|
Forms of Teaching & Learning |
Lecture and tutorial |
|
Frequency |
Summer semester |
|
More Information | see OPAL |