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30661-01 - Vorlesung: Time Series Analysis II 3 KP

Semester Herbstsemester 2019
Angebotsmuster Jedes Herbstsemester
Dozierende Christian Kleiber (christian.kleiber@unibas.ch, BeurteilerIn)
Inhalt Contents:
The course will cover selected topics beyond the AR(I)MA basics introduced in Time Series Analysis I (TSA I). This course may be seen as an introduction to time series econometrics, whereas TSA I is meant to be an introduction to time series and forecasting in a wider sense. Of course, TSA II requires the contents of TSA I as a prerequisite. Empirical illustrations will make use of the R language for statistical computing and graphics, see https://www.R-project.org/, hence basic knowledge of this software package is expected. There will be lab sessions.

Topics will include unit roots, volatility models (GARCH-type models), vector autoregressions (VARs), cointegration, potentially structural change.
Lernziele Learning objectives:
Basic time series econometrics beyond (univariate) ARIMA modeling, notably volatility models and basics of multivariate models.
Literatur Some references (the course will not necessarily follow a specific text!):

Brockwell PJ, Davis RA (2016). Introduction to Time Series and Forecasting, 3rd ed. Springer. [Available in electronic form via the university library.]

Chan NH (2010). Time Series: Applications to Finance with R and S-Plus, 2nd ed. Wiley.

Cryer JD, Chan KS (2008). Time Series Analysis, with Examples in R, 2nd ed. Springer. [Available in electronic form via the university library.]

Franses PH, van Dijk D, Opschoor A (2014). Time Series Models for Business and Economic Forecasting, 2nd ed. Oxford Univ. Press.

Ruppert D, Matteson DS (2015). Statistics and Data Analysis for Financial Engineering, 2nd ed. New York: Springer. [Available in electronic form via the university library.]

Tsay RS (2010). Analysis of Financial Time Series, 3rd ed. Wiley.
Weblink Weblink


Teilnahmebedingungen Prerequisites:
Time Series Analysis I (not necessarily the course in HS 2019, but students must be familiar with the content!). Also, basic knowledge of R is expected.
Anmeldung zur Lehrveranstaltung Registration: Please enrol in MOnA. EUCOR-Students and students of other Swiss Universities have to enrol at the students administration office (studseksupport1@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam! A deregistration is possible until November 13th, 2019 by email to studiendekanat-wwz@unibas.ch.
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz


Intervall Wochentag Zeit Raum

Keine Einzeltermine verfügbar, bitte informieren Sie sich direkt bei den Dozierenden.

Module Modul: Statistik und Computational Science (Masterstudium: Actuarial Science)
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Masterstudium: International and Monetary Economics)
Vertiefungsmodul: Quantitative Methods (Masterstudium: Wirtschaftswissenschaften)
Leistungsüberprüfung Semesterendprüfung
Hinweise zur Leistungsüberprüfung Notes for the Assessment:
Written exam. Students may bring (1) a dictionary, (2) a calculator (subject to the usual rules), and (3) two pages of their own, handwritten notes.

In addition, there will be several assignments, for which students may work in groups of two. Assignments will account for 20% of the final grade.
written exam: 23.01.20; 12:15-13:45. WWZ S15: A-Z.
Die Adressen der Prüfungsräume finden Sie hier: https://wwz.unibas.ch/de/studium/pruefungen/vorlesungs-und-pruefungsraeume/ . Bitte kontrollieren Sie die Raumzuteilung kurz vor den Prüfungen noch einmal!
You can still withdraw from the examination by submitting a completed, signed form to our office from 15.10.19 until 25.10.19 / 12:00 o’clock. Withdrawals sent by email will not be accepted. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office. Prior to 14.10.19, please only use MONA for withdrawing. The exam rooms will be published up to 08.12.19.
An-/Abmeldung zur Leistungsüberprüfung Anmelden: Belegen; Abmelden: Studiendekanat
Wiederholungsprüfung keine Wiederholungsprüfung
Skala 1-6 0,1
Wiederholtes Belegen beliebig wiederholbar
Zuständige Fakultät Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch
Anbietende Organisationseinheit Wirtschaftswissenschaftliche Fakultät / WWZ