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30661-01 - Lecture: Time Series Analysis II (3 CP)
| Semester | fall semester 2016 |
| Course frequency | Every fall sem. |
| Lecturers | Christian Kleiber (christian.kleiber@unibas.ch, Assessor) |
| Content | Contents: The course will cover selected topics beyond the AR(I)MA basics introduced in Time Series Analysis I (TSA I). This course may be seen as an introduction to time series econometrics, whereas TSA I is meant to be an introduction to time series and forecasting in a wider sense. Of course, TSA II requires the contents of TSA I as a prerequisite. Empirical illustrations will make use of the R language for statistical computing and graphics, see http://www.R-project.org/, hence basic knowledge of this software package is expected. Topics may include (some of) unit roots, volatility models (GARCH-type models), vector autoregressions (VARs), cointegration, structural change, structural time series models, nonlinear time series models, etc. Details may depend on the interests of the audience. Suggestions are welcome! |
| Learning objectives | Learning objectives: Basic time series econometrics beyond (univariate) ARIMA modeling, notably volatility models and basics of multivariate models. |
| Bibliography | Some references (the course will not necessarily follow a specific text!): Chan NH (2010). Time Series: Applications to Finance with R and S-Plus, 2nd ed. Wiley. Cryer JD, Chan KS (2008). Time Series Analysis, with Examples in R, 2nd ed. Springer. [Available in electronic form via the university library.] Franses PH, van Dijk D, Opschoor A (2014). Time Series Models for Business and Economic Forecasting, 2nd ed. Oxford Univ. Press. 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.] Tsay RS (2010). Analysis of Financial Time Series, 3rd ed. Wiley. |
| Weblink | Weblink |
| Admission requirements | Prerequisites: Time Series Analysis I (not necessarily the course in HS 2016, but students must be familiar with the content!). Also, basic knowledge of R is expected. |
| 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! A deregistration is possible until november 15th, 2016 by email to studiendekanat-wwz@unibas.ch. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| 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 | Notes for the Assessment: Written exam. In addition, there will be at least two assignments, for which students may work in groups of two. Each assignment will account for 10% of the final grade. written exam: 13.01.17; 10:15-11:45. WWZ S15: A-Z. You can still withdraw from the examination by submitting a completed, signed form to our office from 18.10.16 until 28.10.16 / 12:00 o’clock. Withdrawals sent by email will not be accepted. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office. Prior to 17.10.16, please only use MONA for withdrawing. The exam rooms will be published up to 09.12.16. Participants are allowed to use (1) a dictionary, (2) a calculator (subject to the usual constraints), and (3) two pages of their own, handwritten notes (note: 2 pages, NOT 2 + 2!) . |
| Assessment registration/deregistration | Reg.: course registr.; dereg.: Office of the Dean of Studies |
| 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 | Faculty of Business and Economics |