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Multivariate Time Series Analysis

Multivariate Time Series Analysis (Econometrics 5)

(formerly: Multivariate Zeitreihenanalyse)

Overview

This module consists of a lecture (2 SWS) and an excercise course (2 SWS). It applies to the following master programs:

  • Master in Economics
  • Master in Labour Market and Human Resources
  • Master in Finance, Auditing, Controlling, Taxation (FACT)
  • Master in Marketing
    • If the master program started in the winter term 13/14 or later: Elective module in section „Methoden“, both specializations
    • If the master program started before the winter term 13/14:
      • Elective mandatory module for specialization in Marketing Research
      • Elective module in section „Methoden“ for specialization in Marketing Research; not possible if it has been chosen as elective mandatory module
      • Elective module in section „Methoden“ for specialization in Marketing Management
  • Masterstudiengang in Wirtschaftsmathematik

The module is offered each summer term. Course language is English.

Contents

  1. Univariate time series models
  2. Basic concepts of bivariate distributions
  3. Stationary multivariate processes
  4. Stationary vector autoregressive processes
  5. Integrated processes
  6. Multivariate GARCH models
  7. Multivariate stylized facts of financial returns

Literature

  • Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis, Springer.
  • McNeil, A., Frey, R., Embrechts, P. (2005), Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press.
  • Mills, T.C. (1993), The Econometric Modelling of Financial Time Series, Cambridge University Press.
  • Schmid, F., Trede, M. (2006), Finanzmarktstatistik, Springer.
  • Tsay, R.S. (2002), Analysis of Financial Time Series, Wiley.
  • Verbeek, M. (2008), A Guide to Modern Econometrics, 3rd edition, Wiley.

Grading procedure

  • 5 ECTS are to be earned
  • 30-minute oral examination
  • 7.5 minutes of the oral examination are spent on working with the R software

Lecture

The first lecture in the summer term 2018 is scheduled for April 10, 2018, 1.15 pm at the Hermann Gutmann Lecture Hall. The next lectures is scheduled for April 11, 2018, 1.15pm at LG0.143.

Material related to the lecture can be found at StudOn within the course Multivariate Time Series Analysis. The passwort needed for joining the StudOn course will be announced during the first lecture.

The lecture will be given by Dr. Christopher Krauß.

Exercise course

The first exercise course in the summer term 2018 is scheduled for April 18, 2018.

Material related to the exercise course can be found at StudOn within the course Multivariate Time Series Analysis. The passwort needed for joining the StudOn course will be announced during the first lecture.

The exercise course will be given by Monika Doll.