Univariate Time Series Analysis (master)
Lecture: 16601
Exercise: 16602
LSF link
Tutors: Klaus Wohlrabe (Wohlrabe@ifo.de) and Dennis Mao (dennis.mao@lmu.de)
Teaching content:
1. Overview
2. Fundamentals and Properties of Stochastic Processes
3. Univariate ARIMA-Processes
4. Estimation and Forecasting of ARIMA-Models
5. Univariate GARCH-Models + Extensions
6. Selected aspects: Long Memory und Fractional Differencing, Threshold-Models
Requisites: Solid mathematical foundations (analysis and linear algebra), basic knowledge in econometrics (econometrics 1) or statistics (linear models).
Audience: PhD and Master students in statistics and economics
Evaluation: Written Exam
ECTS Credits: 6 ECTS