| Lecturer | Prof. Dr. Ulrich Stadtmüller |
| Class Teacher | Christian Hering |
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| Type of Lecture | 2 h Lecture, 1 h Class (2+1) |
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| Ort und Zeit | Lecture: |
| | - Monday, 10-12 in He18/220
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| | Exercise Class: |
| | - Tuesday, 1p-2p in He18/220
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| Contents | - (Chapter 1) Basics
- (Chapter 2) Linear Processes (ARMA Processes)
- (Chapter 3) Statistical Analysis of Linear Processes
- (Chapter 4) ARCH and GARCH Models
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| 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.
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| Material | |
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| 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
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| 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. |
