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

Semester Herbstsemester 2024
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. There may be lab sessions.

Software / programming language: R, see https://www.R-project.org/. Basic knowledge of R is expected.
Lernziele Basics of univariate time series analysis: autocorrelation, stationarity, AR(I)MA models and their seasonal extensions, model selection and diagnostics, forecasting, unit roots, and volatility models.
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.]

Shumway RH, Stoffer DS (2019). Time Series: A Data Analysis Approach Using R. CRC Press.
Weblink Weblink to OLAT

 

Teilnahmebedingungen Students from Master's programmes of the Faculty of Business and Economics: Completed Bachelor's degree. 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. Basic knowledge of R is expected.
Anmeldung zur Lehrveranstaltung Registration: Please enroll in the Online Services (services.unibas.ch);

Eucor-Students and mobility students of other Swiss Universities or the FHNW first have to register at the University of Basel BEFORE the start of the course and receive their login data by post (e-mail address of the University of Basel). Processing time up to a week! Detailed information can be found here: https://www.unibas.ch/de/Studium/Mobilitaet.html
After successful registration you can enroll for the course in the Online Services (services.unibas.ch).

Applies to everyone: Enrolment = Registration for the course and the exam!
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz
HörerInnen willkommen

 

Intervall Wochentag Zeit Raum
wöchentlich Freitag 10.15-12.00 Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32

Einzeltermine

Datum Zeit Raum
Freitag 20.09.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 27.09.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 04.10.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 11.10.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 18.10.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 25.10.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 01.11.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 08.11.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 15.11.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 22.11.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S13 HG.35
Freitag 29.11.2024 10.15-12.00 Uhr Dies Academicus
Freitag 06.12.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 13.12.2024 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Module Modul: Electives in Data Science (Masterstudium: Data Science)
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: 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: tbd

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.
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

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