Syllabus:
- Overview
- Fundamentals and Properties of Stochastic Processes
- Univariate ARIMA-Processes
- Estimation and Forecasting of ARIMA-Models
- Univariate GARCH-Models + Extensions
- Selected aspects: Long Memory und Fractional Differencing, Threshold-Models
Intended audience: Advanced bachelor and master students of statistics, mathematics, computer science (Informatik), economics and business administration.
Prerequisites: Solid mathematical foundations (analysis and linear algebra), basic knowledge in econometrics (econometrics 1) or statistics (linear models).
Teaching Style: Online via Zoom and Moodle in english
Examination: (written) Exam
Record of Achievement: 6 ECTS
Time Schedule
The lectures and tutorials take place between 12.04.2021 (first lecture) and 18.05.2021.
Inscription key: UTSA2021SoSe
- Enseignant: Dennis Mao