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31906-01 - Seminar: Topics in Statistics, Econometrics and Data Science 6 KP

Semester Herbstsemester 2020
Angebotsmuster Jedes Herbstsemester
Dozierende Christian Kleiber (christian.kleiber@unibas.ch, BeurteilerIn)
Inhalt Master seminar Topics in Statistics, Econometrics and Data Science (formerly called "Quantitative Methods") in Fall 2020:

Correlation, Dependence and Copulas

At the introductory statistics level, the distinction between correlation and dependence often leads to misunderstandings. This is partly because many basic methods are linear, and hence dependence can be assessed via correlations. The distinction becomes clearer once students encounter GARCH models for financial time series, Also, there exist methods for disentangling dependence issues from other aspects of models. Specifically, a multivariate distribution can be decomposed into the marginal distributions and the copula, the latter captures the dependence structure. This matters for risk management in finance and insurance.

The seminar will include a broad variety of topics: alternatives to Pearson correlation (the classical correlation coefficient), aspects of multivariate normal and possibly multivariate t distributions, copula basics and applications, selected topics from risk management, possibly non-classical (spatial?) dependence structures in regression models.

The idea is that each participant presents a model or method, depending on the topic along with an illustration using a data set.

We may include an introductory lecture at the beginning of the semester.
Lernziele Content: Dependence concepts and modelling.

Skills: Writing of term papers involving quantitative methods, oral presentations.
Literatur References will be specific to the chosen topic. General references include

Czado C (2019). Analyzing Dependent Data with Vine Copulas. A Practical Guide With R. Lecture Notes in Statistics, Springer.

Frees EW, Valdez EA (1998). Understanding relationships using copulas. North American Actuarial Journal, 2(1), 1-25.

Genest C, MacKay J (1986). The joy of copulas: bivariate distributions with uniform marginals. The American Statistician, 40(4), 280-283.

Nelsen RB (2007). An introduction to copulas, 2nd ed. Springer.

Trivedi PK, Zimmer DM (2007). Copula modeling: an introduction for practitioners. Foundations and Trends in Econometrics, 1(1), 1-111.
Bemerkungen This announcement is written in English with the intention of reaching a wider audience, but depending on the participants we may proceed in German.
Weblink Weblink

 

Teilnahmebedingungen Prerequisites:
A minimum of 30 CPs and have passed the following or an equivalent lecture, respectively: Econometrics (12036)
Anmeldung zur Lehrveranstaltung The application for this seminar is done centrally and online from May 11 to June 8, 2020 with the Studiendekanat.
The link to the online application form and more information can be found here: https://wwz.unibas.ch/de/studium/master-business-and-economics/masterseminare/
The registration is binding. In case of non-participation after registration it will be noted as "nicht erschienen" in the transcript. For a break up after receiving a subject and title, there will be a "1.0" recorded. In addition, the priority of the wishes for future seminar applications is lost.
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz

 

Intervall unregelmässig
Datum 17.08.2020 – 20.11.2020
Zeit Siehe Detailangaben
Datum Zeit Raum
Montag 17.08.2020 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Dienstag 15.09.2020 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39
Donnerstag 19.11.2020 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 20.11.2020 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Module Modul: Empirische Forschungsmethoden der Politikwissenschaft und der Gesellschaftswissenschaften (Master Studienfach Politikwissenschaft)
Modul: Seminararbeiten (Masterstudium: Wirtschaftswissenschaften)
Modul: Statistik und Computational Science (Masterstudium: Actuarial Science)
Leistungsüberprüfung Seminarleistung
Hinweise zur Leistungsüberprüfung Presentation (format: 30 min plus discussion) and paper (approx. 15-20 pages).
Dates:
Kickoff: 15.8.19 1015 - 1200,
Introductory lecture: 18.9.19, 1230 - 1315,
Presentations: 27.11.19 1415 - 1800 und 28.11.19 1415 - 1800
An-/Abmeldung zur Leistungsüberprüfung An- und Abmelden: Fakultät
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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