Lecture Summer Term 2015
Multivariate Time Series
|Class Teacher:||Imma Curato|
Time and Venue:
Lectures: Monday 16-18 He220, Tuesday 12-14 He120,
Exercises: Friday 14:15-15:45 N24/254
First Lecture : 13th April
In the first week of the course (from 13th to 15th April) only lectures will take place.
First exercise class: 22th April
Time series data are often collected on more than one variable and it is then important to analyze the interaction and co-movements of the series of interest.
The software R will be used for applications.
- Multivariate time series analysis: With R and financial applications
-Introduction to multiple time series analysis by Lutkepohl (Springer)
|Exam:||13/07/2015, 4 pm|