Advanced time series analysis (VWLfeAdvTSA-01a / VWLfeAdvTSA-02a) (030024)- Dozent/in
- Dr. Cristina Sattarhoff
- Angaben
- Vorlesung, 2 SWS, benoteter Schein, ECTS-Studium
Für Hörer/-innen aller Fakultäten, für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch, Further information you will find in OLAT
Zeit und Ort: Mi 14:00 - 15:30, LMS6 - R.10 Steinitz-Hörsaal; Einzeltermine am 3.5.2023 18:00 - 20:00, LMS6 - R.10 Steinitz-Hörsaal; 5.7.2023 14:00 - 16:00, WSP7 - R.312 (PC-Labor)
vom 10.4.2023 bis zum 9.7.2023
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 18.7.2023, 8:00 - 10:00 Uhr, Raum LMS6 - R.10 Steinitz-Hörsaal
2. Prüfungstermin (Klausur zu Beginn der Vorlesungszeit des Folgesemesters): 17.10.2023, 8:00 - 10:00 Uhr, Raum LMS6 - R.10 Steinitz-Hörsaal
- Voraussetzungen / Organisatorisches
- Module Code: VWLfeAdvTSA-01a / VWLfeAdvTSA-02a
Module Number: 3050800 / 3050801
Exam Number: 3050810
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2023:
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
The course will require students to be familiar with the computer program R.
Further information you will find in OLAT
- Inhalt
- This course addresses statistical inference issues for spectral analysis, long memory models, multifractal volatility models and point processes. The course will require students to be familiar with the computer programs R and Matlab. At the end of this course students will be able to perform advanced empirical studies, e.g. fit models for financial data.
1. Spectral analysis and filtering
1.1 Cyclical behaviour and periodicity
1.2 Periodogram
1.2.1 Periodogram interpretation and pitfalls
1.2.2 Testing for a periodic component
1.2.3 White noise test
1.3 Spectral density
1.4 Linear filters
1.5 Spectral estimation
1.5.1 Direct spectral estimation
1.5.2 Other approaches
2. Long memory processes
2.1 Introduction
2.2 Estimation of the fractional differencing parameter
2.3 ARFIMA models
2.4 Application: Realized volatility forecasts
2.5 Multifractal volatility models and applications
3. Point processes
3.1 Introduction
3.2 Applications in high-frequency finance
- Empfohlene Literatur
- Shumway, R. H. und Stoffer, D. S. (2011), Time Series Analysis and Its Applications, 3rd, Springer, New York.
Wei, W. (2005), Time series analysis, 2nd ed., Pearson Education (US)
Hautsch, N. (2012), Econometrics of Financial High-Frequency Data, Springer, Berlin Heidelberg
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 60
Computer Tutorial: Tutorial Advanced time series analysis (030025)- Dozent/in
- Dr. Cristina Sattarhoff
- Angaben
- Übung, 2 SWS, ECTS-Studium
Unterrichtssprache Englisch, more information in OLAT
Zeit und Ort: Do 14:00 - 16:00, WSP7 - R.416a/b [PC StatÖko]; Einzeltermine am 4.5.2023, 24.5.2023 18:00 - 20:00, WSP7 - R.416a/b [PC StatÖko]
vom 17.4.2023 bis zum 9.7.2023
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 30
PC-Tutorial: Seminar in Financial Economics (030077)- Dozent/in
- Dr. Cristina Sattarhoff
- Angaben
- Vorlesung
Zeit und Ort: Blockveranstaltung 13.4.2023-25.5.2023 Do 10:00 - 12:00, WSP7 - R.416a/b [PC StatÖko] (außer Do 27.4.2023, Do 11.5.2023); Blockveranstaltung 27.4.2023-25.5.2023 Do 10:00 - 12:00, WSP7 - R.312 (PC-Labor) (außer Do 4.5.2023); Einzeltermin am 10.5.2023 18:00 - 20:00, WSP7 - R.416a/b [PC StatÖko]
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 20
Welcome and Orientation Master Quantitative Finance (030295) [Kursveranstaltung]- Dozent/in
- Dr. Cristina Sattarhoff
- Angaben
- Sonstiger Typ
Zeit und Ort: Einzeltermin am 3.4.2023 16:00 - 18:00, Online-Veranstaltung
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