Time Series

Lecture Time Series

 

LecturerProf. Dr. Ulrich Stadtmüller
Class TeacherChristian Hering

Type of Lecture 2 h Lecture, 1 h Class (2+1)

Ort und ZeitLecture:
  • Monday, 10-12 in He18/220
Exercise Class:
  • Tuesday, 1p-2p in He18/220

Contents
  • (Chapter 1) Basics
  • (Chapter 2) Linear Processes (ARMA Processes)
  • (Chapter 3) Statistical Analysis of Linear Processes
  • (Chapter 4) ARCH and GARCH Models

Information
  • Lecture and exercise classes will be held in English.
  • If you do not have a SLC login, please set up a SLC-Account as soon as possible.
  • You can get a short introduction to R here (German!). Special Thanks go to Marius Hofert.
  • Lecture notes are available on the hompage of Paul Körbitz. You can also downlaod them here.

Material

Exercise Sheets

Literature
  • Brockwell, Davis: Time Series: Theory and Methods,
    Springer, 1991.
  • Kreiß, Neuhaus: Einführung in die Zeitreihenanalyse,
    Springer, 2006.
  • Mills: Time Series for Economists,
    CUP, 1990.
  • Schlittgen, Streitberg: Zeitreihenanalyse,
    Oldenbourg, 2001.
  • Tong: Non-linear Time Series,
    Oxford, 1990.
  • Zivot, Wang: Modeling Financial Time Series with S-PLUS,
    Springer, 2006.
Download the list as pdf file.

Contact

Lecturer
Prof. Dr. Ulrich Stadtmüller
Office Hours: By Appointment
Phone: +49 (0)731/ 50-23512
Ulrich Stadtmüller

 

Class Teacher
Christian Hering
Office Hours: By Appointment
Phone: +49 (0)731/ 50-23514
Christian Hering

News

  • The lecture on Monday, 02/02/2009 will not take place in He18|220 but in He22|E018.

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