Universität Wien FIND
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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/

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: Fr 31.08.2018 08:42