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| Semester | Herbstsemester 2023 |
| Angebotsmuster | Jedes Herbstsemester |
| Dozierende | Christian Kleiber (christian.kleiber@unibas.ch, BeurteilerIn) |
| Inhalt | Contents: The course covers basic concepts of univariate time series analysis with an emphasis on methods and models that are used in economics, finance and related fields. Further topics, including multivariate models such as vector autoregressions (VARs) and cointegration, 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 as eBook via the university library.] Chan NH (2010). Time Series: Applications to Finance with R and S-Plus, 2nd ed. Wiley. [available as eBook via the university library.] Neusser K (2011). Zeitreihenanalyse in den Wirtschaftswissenschaften, 3. Auflage. Teubner. [available as eBook 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 as eBook via the university library.] |
| Weblink | Weblink to OLAT |
| Teilnahmebedingungen | Students majoring in business and economics: 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 via 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 or OLAT 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 |
| HörerInnen willkommen |
| Intervall | wöchentlich |
| Datum | 22.09.2023 – 08.12.2023 |
| Zeit |
Freitag, 10.15-12.00 Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32 |
| 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) |
| Leistungsüberprüfung | Examen |
| Hinweise zur Leistungsüberprüfung | Written exam: date tbd 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 30% of the final grade. IMPORTANT: For courses with a main lecture exam, a repeat exam is offered in addition to the regular examination date.This repeat examination can only be taken if the student has taken part in and failed the regular examination (grade < 4.0) see English translation of the study guide of our master programs by December 13, 2021: Paragraph 4.13.4.1. |
| An-/Abmeldung zur Leistungsüberprüfung | Anm.: Belegen Lehrveranstaltung; Abm.: stornieren |
| 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 |