Zur Merkliste hinzufügen
Zurück

 

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

Semester Herbstsemester 2022
Angebotsmuster Jedes Herbstsemester
Dozierende Daniele Ballinari (daniele.ballinari@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 "Advanced Time Series" in spring.

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.
Lernziele Basics of univariate time series analysis.

Literatur Some references (the course will not 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. [Available in electronic form via the university library.]

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.]
Weblink Weblink to OLAT

 

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

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

Anmeldung zur Lehrveranstaltung Registration: Please enrol in the Online Services before the course starts. EUCOR-Students and students of other Swiss Universities have to enrol at the students administration office (studseksupport1@unibas.ch) within the official enrolment period. In order to get access to ADAM in time, it is best to enrol before the course starts though.
Enrolment = Registration for the exam!
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz

 

Intervall wöchentlich
Datum 19.09.2022 – 05.12.2022
Zeit Montag, 12.30-14.00 Wirtschaftswissenschaftliche Fakultät, Auditorium
Datum Zeit Raum
Montag 19.09.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 26.09.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 03.10.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 10.10.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 17.10.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 24.10.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 31.10.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 07.11.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 14.11.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 21.11.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 28.11.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Montag 05.12.2022 12.30-14.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Module Modul: Core Courses in Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften)
Modul: Field Electives in Economics and Public Policy (Masterstudium: Economics and Public Policy)
Modul: Fundamentals in Finance and Money (Masterstudium: Finance and Money)
Modul: Specific Electives in Business and Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Data Science and Computational Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Marketing and Strategic Management (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften)
Modul: Statistik und Computational Science (Masterstudium: Actuarial Science)
Modul: Technology Field (Masterstudium: Business and Technology)
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Masterstudium: International and Monetary Economics)
Vertiefungsmodul: Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften (Studienbeginn vor 01.08.2021))
Vertiefungsmodul: Quantitative Methods (Masterstudium: Wirtschaftswissenschaften (Studienbeginn vor 01.08.2021))
Leistungsüberprüfung Examen
Hinweise zur Leistungsüberprüfung 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. 12.01.23; 14:15-15:45. The rooms will be published by December 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.

The repeat exam will be held on 01.02.23; 12:30-14:00. You will receive the rooms for the repeat exam by mail.

written exam: date tbd
An-/Abmeldung zur Leistungsüberprüfung An-/Abmelden: Belegen resp. Stornieren der Belegung via MOnA
Wiederholungsprüfung eine Wiederholung, bester Versuch zählt
Skala 1-6 0,1
Wiederholtes Belegen einmal wiederholbar
Zuständige Fakultät Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch
Anbietende Organisationseinheit Wirtschaftswissenschaftliche Fakultät / WWZ

Zurück