Time Series Analysis
types of univariate time series models in discrete time: AR-, MA-, ARMA-, ARIMA-processes;estimation and testing of univariate models using financial time seriestypes of multivariate time series models in discrete time: VAR-, VARMA-, VARIMA-processes;ARCH- and GARCH-models;estimation and testing of multivariate models using financial time series;integration and cointegration
Quantitative Asset and Risk Management (Master)
Language of instruction
After the successful completion of the course students are able to analyse, model and simulate time series data using computer programs such as EViews. As the concepts of time series analysis are always taught on the basis of practical examples using financial time series, the students know in which areas of asset and risk management time series models are used. Mainly, these will be simulation models to forecast levels of asset prices or interest rates or their volatilities.