040973 UK Multivariate Time Series Analysis (MA) (2025S)
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 10.02.2025 09:00 to Tu 18.02.2025 12:00
- Registration is open from We 26.02.2025 09:00 to Th 27.02.2025 12:00
- Deregistration possible until Fr 14.03.2025 23:59
Details
max. 30 participants
Language: English
Lecturers
Classes (iCal) - next class is marked with N
- Tuesday 04.03. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 11.03. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 18.03. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 25.03. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 01.04. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 08.04. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- N Tuesday 29.04. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 06.05. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 13.05. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 20.05. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 27.05. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 03.06. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 10.06. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 17.06. 08:00 - 11:15 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 24.06. 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: Fr 28.02.2025 12:45
Multivariate ARMA processes
Some asymptotic theory for AR(1) processes
Unit root tests
Cointegration