Time Series Econometrics

Course Description

The goal is to familiarize students with the fundamentals of time series analysis. They learn the basic time series models and are able to estimate them, interpret estimation results and apply them for forecasting. They critically examine the methods they have learned.

Requirements

  • Basic education in statistics and mathematics from the Bachelor program is required.
  • Basic knowledge of econometrics is recommended, but not necessarily required.

Organisation

  • Credit Points: 6
  • Semester: Summersemester
  • Scope: Lecture: 2 SH, Tutorial: 2 SH
  • Course Language: English
  • Exam: Depending on the number of participants, either written (120 min.) or oral exam (20 min.) at the end of the semester. The type of examination will be communicated at the beginning of the semester.
  • Additional Offer: Opportunity to gain bonus points to improve the final grade (in terms of an optional semester performance)

Dates

  • Lecture I:
    • Date: Tuesday, 10:00 - 12:00
    • Location: Bldg. C3 1, Room 3.01
    • Start: 03.05.2022
  • Lecture II:
    • Date: Thursday, 10:00 - 12:00
    • Location: Bldg. C3 1, Room 3.01
    • Period: 05.05.2022 - 19.05.2022
  • Tutorial:
    • Date: Thursday, 16:00 (s.t.) - 17:30
    • Location: Bldg. C3 1, Room 3.01
    • Start: 28.04.2022

Documents

Lecture and tutorial notes can be found on Moodle.

Syllabus

Chapter 1: Introduction
Chapter 2: Univariate Time-Series Models
Chapter 3: Multivariate Time-Series Models
Chapter 4: Modeling Long-Run Relationships
Chapter 5: Modeling Volatility and Correlation

Literature

  • Brooks, C.: Introductory Econometrics for Finance, current edition. Cambridge University Press.
  • Tsay, R.: Analysis of Financial Time Series, current edition. John Wiley & Sons, New Jersey.