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040973 UK Multivariate Time Series Analysis (2022S)
Continuous assessment of course work
Labels
Ausführliche Kursbeschreibung auf Homepage
http://homepage.univie.ac.at/erhard.reschenhofer/
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).
- Registration is open from Mo 07.02.2022 09:00 to Mo 21.02.2022 12:00
- Registration is open from Th 24.02.2022 09:00 to Fr 25.02.2022 12:00
- Deregistration possible until Mo 14.03.2022 23:59
Details
max. 30 participants
Language: German
Lecturers
Classes (iCal) - next class is marked with N
Tuesday, SR 16, OMP1
08:00-10:15: 08.03., 15.03., 22.03., 29.03., 05.04., 26.04., 03.05.
09:00-11.15: 10.05., 17.05., 24.05., 31.05., 14.06., 21.06., 28.06.
-
Tuesday
01.03.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
08.03.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
15.03.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
22.03.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
29.03.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
05.04.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
26.04.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
03.05.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
10.05.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
17.05.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
24.05.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
31.05.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
14.06.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
21.06.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock -
Tuesday
28.06.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock
Information
Aims, contents and method of the course
Assessment and permitted materials
Proofs and exercises: maximum 20 points
Project 1 (Cross spectral analysis): maximum 18 points
Project 2 (Unit roots & cointegration): maximum 18 points
Project 1 (Cross spectral analysis): maximum 18 points
Project 2 (Unit roots & cointegration): maximum 18 points
Minimum requirements and assessment criteria
1: 50-56, 2: 43-49, 3: 36-42, 4: 29-35, 5: 0-28
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
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 04.03.2022 19:07
Multivariate ARMA processes
Some asymptotic theory for AR(1) processes
Unit root tests
Cointegration