LFU:online

Detailed knowledge of methods for the analysis and modeling of time series data, especially from economics and finance. Ability to independently work out statistical problems based on use-oriented questions, using statistical software, and communicating the results.

Stochastic processes, smoothing methods, ARIMA models, stationarity, unit roots and cointegration, GARCH models, time series regression and structural change

Presentation of lecture slides by lecturer, discussion of case studies (VO). Preparation and presentation of exercises and case studies by participants, discussion (SE).

Exercises, practical case studies, orals presentations (SE) and written overall exam.

Hauptreferenz/Primary reference: Cryer JD, Chan KS (2008). Time Series Analysis ¬ With Applications in R, 2nd ed. New York: Springer-Verlag.

see lecture 403045.