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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 |
| Teilnahmevoraussetzungen | 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 S15 HG.31 |
Einzeltermine
| 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) |
| Prüfung | Examen |
| Hinweise zur Prüfung | Written exam: 15.01.25; 14:45-16:15; DSBG Sporthalle: A-Z. For this exam, you will receive additional information and your admission times by email three to four days before the exam date. You should be on site at least 20 minutes before the start of the exam. You can find the addresses of the examination rooms here: https://wwz.unibas.ch/en/studies/examinations/lecture-and-examination-rooms/ Depending on the number of students, the start of the exam may be moved forward or backward for 30 minutes. Exam rooms and start times will be published until 09 December 24. You can still withdraw from the examination by submitting a completed, signed form to our office from 15.10.24 until 25.10.24 / 12:00 o’clock. The deregistration form and the mail address can be found on the homepage of the Dean of Studies Office: https://wwz.unibas.ch/en/studies/examinations/de-/registration-of-examinations/ Prior to 14.10.24, please deregister only in the Online Services. repeat exam: 06.02.25; 10:15-11:45. 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 Prüfung | Anm.: Belegen Lehrveranstaltung; Abm.: stornieren |
| Wiederholungsprüfung | eine Wiederholung, bester Versuch zählt |
| Skala | 1-6 0,1 |
| Belegen bei Nichtbestehen | einmal wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Wirtschaftswissenschaftliche Fakultät / WWZ |