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10684-01 - Vorlesung: Univariate Time Series Analysis 3 KP

Semester Herbstsemester 2020
Angebotsmuster Jedes Herbstsemester
Dozierende Christian Kleiber (christian.kleiber@unibas.ch, BeurteilerIn)
Inhalt Contents:

The course covers basic concepts of univariate time series analysis that are needed for an understanding of modern time series econometrics. The latter includes multivariate models such as vector autoregressions (VARs) and cointegration, topics that are studied in a follow-up course.

The course will study notions such as autocorrelation, stationarity, AR(I)MA models and their seasonal extensions, model selection and diagnostics, forecasting, unit roots, and volatility models. 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 may be lab sessions.

NB. The course will differ from versions of previous years in that it will incorporate some topics from the former Time Series Analysis II course, notably volatility models. The multivariate topics from Time Series Analysis II will be incorporated in a new course, title tbd, likely taught by a different instructor.
Lernziele Basics of univariate time series analysis.

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.

Neusser K (2011). Zeitreihenanalyse in den Wirtschaftswissenschaften, 3. Auflage. Teubner.

Neusser K (2016). Time Series Econometrics. Springer.

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.]
Bemerkungen Course in digital form (pre-produced videos) with possible in-class meetings. No live streams.See OLAT for the public link.Videos are protected, password will be sent to registered participants.
Please find all details and the course material on OLAT here: https://lms.uzh.ch/url/RepositoryEntry/16830890482
Weblink Weblink to OLAT

 

Teilnahmebedingungen WWZ students: BA completed. In addition, successful completion of Econometrics (MSc) is strongly recommended. Some basic knowledge of R is expected.

Other participants: Basic statistics (incl. regression basics) and mathematics.

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!
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz

 

Intervall wöchentlich
Datum 29.09.2020 – 08.12.2020
Zeit Dienstag, 14.15-16.00 Wirtschaftswissenschaftliche Fakultät, Auditorium

Course in digital form (pre-produced videos) with possible in-class meetings (see dates below) No live streams.See OLAT for the public link.

Datum Zeit Raum
Dienstag 29.09.2020 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 13.10.2020 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 27.10.2020 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 10.11.2020 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 24.11.2020 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 08.12.2020 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
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: Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften)
Vertiefungsmodul: Quantitative Methods (Masterstudium: Wirtschaftswissenschaften)
Leistungsüberprüfung Semesterendprüfung
Hinweise zur Leistungsüberprüfung Written exam: 22.01.21; 12:15-13:45.. Students may bring (1) a dictionary, (2) a calculator (subject to the usual rules), and (3) two pages of their own, handwritten notes.
In case COVID-19 protective measures prevent examination on site, the faculty reserves the right to conduct the examination electronically during the same time slot.
The exam rooms will be published up to 05.12.20.

In addition, there will be several assignments, for which students may work in groups of two. Assignments will account for 40% of the final grade.
An-/Abmeldung zur Leistungsüberprüfung Belegen via MOnA innerhalb der Belegfrist
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

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