Universität Wien
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040973 UK Multivariate Time Series Analysis (2021S)

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

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

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 09.03. 09:00 - 11:15 Digital
  • Tuesday 16.03. 09:00 - 11:15 Digital
  • Tuesday 23.03. 09:00 - 11:15 Digital
  • Tuesday 13.04. 09:00 - 11:15 Digital
  • Tuesday 20.04. 09:00 - 11:15 Digital
  • Tuesday 27.04. 09:00 - 11:15 Digital
  • Tuesday 04.05. 09:00 - 11:15 Digital
  • Tuesday 11.05. 09:00 - 11:15 Digital
  • Tuesday 18.05. 09:00 - 11:15 Digital
  • Tuesday 01.06. 09:00 - 11:15 Digital
  • Tuesday 08.06. 09:00 - 11:15 Digital
  • Tuesday 15.06. 09:00 - 11:15 Digital
  • Tuesday 22.06. 09:00 - 11:15 Digital
  • Tuesday 29.06. 09:00 - 11:15 Digital

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

3 projects with real multivariate time series

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 12.05.2023 00:13