Main content

German original

Time Series Analysis
(dt. Zeitreihenanalyse)

Level, degree of commitment in original study programme Advanced module, compulsory elective module
Forms of teaching and learning,
workload
Lecture (3 SWS), recitation class (1 SWS) oder lecture (2 SWS), recitation class (2 SWS),
180 hours (60 h attendance, 120 h private study)
Credit points,
formal requirements
6 CP
Course requirement: Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination
Language,
Grading
German,
The grading is done with 0 to 15 points according to the examination regulations for study course M.Sc. Business Mathematics.
Original study programme M.Sc. Wirtschaftsmathematik / Mathematische Vertiefungs- und Praxismodule
Duration,
frequency
One semester,
Regelmäßig im Wechsel mit anderen advanced moduleen
Person in charge of the module's outline Prof. Dr. Hajo Holzmann

Contents

The basic models of time series analysis are discussed with a focus on financial time series, in particular

  • Trend and seasonal component, stationarity and autocorrelation
  • Autoregression and autoregressive moving average models
  • Long-range dependence and unit roots
  • Conditional heteroscedasticity and GARCH models
  • State space models and the Kalman filter

Data examples and their analysis with R are treated as illustration.


Qualification Goals

The students shall

  • learn the theory and basic models of time series,
  • fit them to real data with the help of the statistics software R,
  • practice mathematical methods (development of mathematical intuition and its formal justification, training of the ability to abstract, proof methods),
  • improve their oral communication skills in the recitation classes by practicing free speech in front of an audience and during discussion.

Prerequisites

None. The competences taught in the following modules are recommended: either Foundations of Mathematics and Linear Algebra I and Linear Algebra II or Basic Linear Algebra, either Analysis I and Analysis II or Basic Real Analysis, Probability Theory, Internship Stochastics.


Recommended Reading

  • Brockwell, P. J. und Davis, R. A. (1991) Time series: theory and methods. 2nd edn. Springer.
  • Kreiß, J.-P. und Neuhaus, G. (2006) Einführung in die Zeitreihenanalyse. Springer.
  • Tsay, R. S. (2005) Analysis of financial time series. 2nd ed. John Wiley & Sons



Please note:

This page describes a module according to the latest valid module guide in Wintersemester 2021/22. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:

The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.

The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.