Multivariate Time Series Analysis*

This is a course covers various aspects relevant for the analysis of multivariate time series. Multivariate time series data occurs in many areas, especially in macroeconomic (e.g., GDP, private consumption and investment for a particular country) and finance (e.g., daily returns for all stocks listed at the Frankfurt stock exchange). Often it is necessary to treat such data as being generated by a multivariate stochastic process to account for relationships that exist between the individual time series.

Written Examination

Friedrich-Alexander-Universität Erlangen-Nürnberg

Faculty of Business, Economics, and Law

Statistics and Econometrics