Time Series Analysis

Topics

1. Overview
2. Fundamentals and properties of stochastic processes
3. Univariate ARIMA-Processes
4. Estimation and forecasting of ARIMA-Models
5. Univariate GARCH-Models + extensions
6. Selected aspects: Long Memory and Fractional Differencing, Threshold-Models

Lecture (Dr. Klaus Wohlrabe)

from Tuesday, April 17, 2018 to May 29, 2018 2 - 6 p.m. c.t., Geschw.-Scholl-Pl. 1 (A) - A 017

Tutorial (M. Kurz)

from Friday, April 20, 2018 to May 25, 2018 4 - 8 p.m. c.t., Geschw.-Scholl-Pl. 1 (A) - A 016

Lecture and tutorial in English.