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30661-01 - Lecture: Time Series Analysis II (3 CP)
| Semester | spring semester 2013 |
| Course frequency | Every spring sem. |
| Lecturers | Christian Kleiber (christian.kleiber@unibas.ch, Assessor) |
| Content | Content: The course will cover selected topics beyond the ARIMA basics introduced in Time Series Analysis I. Topics may include vector autoregressions (VARs), cointegration, structural change, structural time series models, classical forecasting methods, spectral analysis, nonlinear models, panels with unit roots, etc. I am planning on a kind of 'helicopter tour' -- brief introductions to a variety of topics instead of an in-depth treatment of 1-2 topics (such as VARs and/or cointegration). Details may depend on the interests of the audience. Suggestions are welcome! |
| Learning objectives | Learning goals: Time series basics beyond (univariate) ARIMA modelling, notably volatility models and basic multivariate models. |
| Bibliography | This course will not follow a specific text. Especially for volatility models, the following references from TSA 1 are still useful Chan NH (2010). Time Series: Applications to Finance with R and S-Plus, 2nd ed. Wiley. Cryer J, Chan KS (2008). Time Series Analysis, with Applications in R. 2nd ed. New York - Berlin: Springer. [available in electronic form via the university library!] Tsay RS (2010). Analysis of Financial Time Series, 3rd ed. Hoboken, NJ: John Wiley. |
| Weblink | Weblink |
| Admission requirements | Prerequisites: Time Series Analysis I (not necessarily the course in HS 2012, but students must be familiar with the content) |
| Course application | Registration: Please enrol in MOnA. EUCOR-Students and Exchange-Students have to enrol at the students administration office (studsek@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam! |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|
No dates available. Please contact the lecturer.
| Modules |
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Master International and Monetary Economics) Statistics and Computational Science Module (Master Actuarial Science) Vertiefungsmodul Quantitative Methods (Master Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | written exam, possibly additional homework assignments written exam: 20.06.2013, 10:15-11:45. WWZ S15: A-Z. |
| Assessment registration/deregistration | Reg.: course registration, dereg: cancel course registration |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,1 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Abteilung Quantitative Methoden: Ökonometrie und Statistik |