040973 UK Multivariate Time Series Analysis (MA) (2024S)
Continuous assessment of course work
Labels
ON-SITE
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 12.02.2024 09:00 to We 21.02.2024 12:00
- Deregistration possible until Th 14.03.2024 23:59
Details
max. 30 participants
Language: English
Lecturers
Classes (iCal) - next class is marked with N
Tuesday
05.03.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
19.03.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
09.04.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
16.04.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
23.04.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
30.04.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
07.05.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
N
Tuesday
14.05.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
21.05.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
28.05.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
04.06.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
11.06.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
18.06.
08:00 - 11:15
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday
25.06.
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: Sa 02.03.2024 08:45
Multivariate ARMA processes
Some asymptotic theory for AR(1) processes
Unit root tests
Cointegration