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040973 UK Multivariate Time Series Analysis (MA) (2023S)
Continuous assessment of course work
Labels
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 13.02.2023 09:00 to We 22.02.2023 12:00
- Registration is open from Mo 27.02.2023 09:00 to Tu 28.02.2023 12:00
- Deregistration possible until Fr 17.03.2023 23:59
Details
max. 30 participants
Language: German
Lecturers
Classes (iCal) - next class is marked with N
- 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 18.04. 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 06.06. 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
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 moodle
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: Tu 14.03.2023 11:28
Multivariate ARMA processes
Some asymptotic theory for AR(1) processes
Unit root tests
Cointegration