Universität Wien FIND
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040973 UK Multivariate Time Series Analysis (2017S)

4.00 ECTS (3.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

Ausführliche Kursbeschreibung auf Homepage
http://homepage.univie.ac.at/erhard.reschenhofer/

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 35 participants
Language: German

Lecturers

Classes (iCal) - next class is marked with N

See: http://homepage.univie.ac.at/erhard.reschenhofer/

Tuesday 07.03. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 14.03. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 21.03. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 28.03. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 04.04. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 25.04. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 02.05. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 09.05. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 16.05. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 23.05. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 30.05. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 13.06. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 20.06. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 27.06. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß

Information

Aims, contents and method of the course

Cross spectral analysis
Multivariate ARMA processes
Some asymptotic theory for AR(1) processes
Unit root tests
Cointegration

Assessment and permitted materials

Exercises, proofs, projects

Minimum requirements and assessment criteria

> 50%

Examination topics

Lecture notes on homepage

Reading list

P.Bloomfield: Fourier Analysis of Time Series. John Wiley & Sons
P.J.Brockwell & R.A.Davis: Time Series: Theory and Methods. Springer
J.D.Hamilton: Time Series Analysis. Princeton University Press
H.Lütkepohl: New Introduction to Multiple Time Series Analysis. Springer
E.Zivot&J.Wang: Modeling Financial Time Series with S-PLUS®. Springer

Association in the course directory

Last modified: Mo 07.09.2020 15:29