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| Semester | fall semester 2020 |
| Course frequency | Every fall sem. |
| Lecturers | Christian Kleiber (christian.kleiber@unibas.ch, Assessor) |
| Content | Master seminar Topics in Statistics, Econometrics and Data Science (formerly called "Quantitative Methods") in Fall 2020: Correlation, Dependence and Copulas At the introductory statistics level, the distinction between correlation and dependence often leads to misunderstandings. This is partly because many basic methods are linear, and hence dependence can be assessed via correlations. The distinction becomes clearer once students encounter GARCH models for financial time series, Also, there exist methods for disentangling dependence issues from other aspects of models. Specifically, a multivariate distribution can be decomposed into the marginal distributions and the copula, the latter captures the dependence structure. This matters for risk management in finance and insurance. The seminar will include a broad variety of topics: alternatives to Pearson correlation (the classical correlation coefficient), aspects of multivariate normal and possibly multivariate t distributions, copula basics and applications, selected topics from risk management, possibly non-classical (spatial?) dependence structures in regression models. The idea is that each participant presents a model or method, depending on the topic along with an illustration using a data set. We may include an introductory lecture at the beginning of the semester. |
| Learning objectives | Content: Dependence concepts and modelling. Skills: Writing of term papers involving quantitative methods, oral presentations. |
| Bibliography | References will be specific to the chosen topic. General references include Czado C (2019). Analyzing Dependent Data with Vine Copulas. A Practical Guide With R. Lecture Notes in Statistics, Springer. Frees EW, Valdez EA (1998). Understanding relationships using copulas. North American Actuarial Journal, 2(1), 1-25. Genest C, MacKay J (1986). The joy of copulas: bivariate distributions with uniform marginals. The American Statistician, 40(4), 280-283. Nelsen RB (2007). An introduction to copulas, 2nd ed. Springer. Trivedi PK, Zimmer DM (2007). Copula modeling: an introduction for practitioners. Foundations and Trends in Econometrics, 1(1), 1-111. |
| Comments | This announcement is written in English with the intention of reaching a wider audience, but depending on the participants we may proceed in German. |
| Weblink | Weblink |
| Admission requirements | Prerequisites: A minimum of 30 CPs and have passed the following or an equivalent lecture, respectively: Econometrics (12036) |
| Course application | The application for this seminar is done centrally and online from May 11 to June 8, 2020 with the Studiendekanat. The link to the online application form and more information can be found here: https://wwz.unibas.ch/de/studium/master-business-and-economics/masterseminare/ The registration is binding. In case of non-participation after registration it will be noted as "nicht erschienen" in the transcript. For a break up after receiving a subject and title, there will be a "1.0" recorded. In addition, the priority of the wishes for future seminar applications is lost. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Interval | Weekday | Time | Room |
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No dates available. Please contact the lecturer.
| Modules |
Modul: Empirische Forschungsmethoden der Politikwissenschaft und der Gesellschaftswissenschaften (Master's degree subject: Political Science) Module: Seminar Papers (Master's Studies: Business and Economics) Module: Statistics and Computational Science (Master's Studies: Actuarial Science) |
| Assessment format | seminar credit |
| Assessment details | Presentation (format: 30 min plus discussion) and paper (approx. 15-20 pages). Dates: Kickoff: 17.8.20 14:30 - 16:00 (Online Meeting with Zoom The invitations will be sent by Email). Introduction; 15.9.20 10:15-11:45. Presentations: 19.11.2020 12-18. |
| Assessment registration/deregistration | Registration/deregistration: faculty |
| 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 |