Portal
Time Series Analysis
Brief description
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