Time Series

Lecture Time Series

	Lecturer	Prof. Dr. Ulrich Stadtmüller
	Class Teacher	Christian Hering

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

	Ort und Zeit	Lecture:
		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	airline.dat fuel.dat S1.dat S2.dat S3.dat S4.dat sarima1.dat sarima2.dat sarima3.dat garch1.dat garch2.dat

	Exercise Sheets	Sheet 1 Due Tu.,10/28/08 in class Sheet 2 Due Tu.,11/04/08 in class Sheet 3 Due Tu.,11/11/08 in class Sheet 4 Due Tu.,11/18/08 in class Sheet 5 Due Tu.,11/25/08 in class Sheet 6 Due Tu.,12/02/08 in class Sheet 7 Due Tu.,12/09/08 in class Sheet 8 Due Tu.,12/16/08 in class Sheet 9 Due Tu.,01/13/09 in class Sheet 10 Due Tu.,01/20/09 in class Sheet 11 Due Tu.,01/27/09 in class Sheet 12 Due Tu.,02/03/09 in class Sheet 13 Due Tu.,02/10/09 in class

	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.