Universität Wien

040973 UK Multivariate Time Series Analysis (2018S)

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

  • Tuesday 06.03. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 13.03. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 20.03. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 10.04. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 17.04. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 24.04. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 08.05. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 15.05. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 29.05. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 05.06. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 12.06. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 19.06. 08:00 - 11:15 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 26.06. 08:00 - 11:15 PC-Seminarraum 1 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: Sa 05.03.2022 00:16