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 series, types 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; Brockwell, P., Davis, R., 1991, Time Series: Theory and Methods, 2nd ed., Springer; Brockwell, P., Davis, R., 2016, Introduction to Time Series and Forecasting, 3rd ed., Springer; Franses, P., van Dijk, D., 2000, Nonlinear time series models in empirical finance, Cambridge University Press; Shumway, R., Stoffer, D., 2017, Time Series Analysis and its Applications, 4th 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

Interactive teaching (lecture and discussion), review of coursework problems, application of models on practical problem sets

Assessment methods and criteria

30% class participation (coursework problems, presentation of coursework solutions and problems worked out in class, group work activities, mini quizzes), 70% written final exam

Prerequisites and co-requisites

FOEC10, FUFI10, FUMS10, PRDA10

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

3.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2023

Semester

1 WS

Incoming

Yes

Learning outcome

After the successful completion of the course, students are familiar with basic time series models, i.e. they can list and recognise the models, can write down the models and describe their basic properties. In addition, they are able to analyse, model and simulate financial time series data (at a basic level) using computer programs such as EViews. Students can explain in which areas of asset and risk management time series models are used.

Course code

0613-09-01-BB-EN-06