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

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

Alexander, C., 2008, Practical Financial Econometrics, Wiley & Sons; Brockwell, P., Davis, R., 2006, Time Series: Theory and Methods, 2nd ed., Springer; Brockwell, P., Davis, R., 2010, Introduction to Time Series and Forecasting, 8th ed., Springer; Franses, P., van Dijk, D., 2000, Nonlinear time series models in empirical finance, Cambridge University Press; Shumway, R., Stoffer, D., 2010, Time Series Analysis and ist Applications, 3rd ed., Springer; Taylor, S., 2005, Asset Price Dynamics, Volatility, and Prediction, University Press of CA; Tsay, R., 2010, Analysis of Financial Time Series, 3rd ed., John Wiley

Planned learning activities and teaching methods

integrated class

Assessment methods and criteria

Students are assessed on the quality of their assignments, their presentations, their participation and the results of the written quizzes.

Prerequisites and co-requisites

Courses 1- 4

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

3.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2022

Semester

1 WS

Incoming

Yes

Learning outcome

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.

Course code

0613-09-01-BB-EN-06