Multivariate Time Series Analysis*

Friedrich-Alexander-Universität Erlangen-Nürnberg
LEVEL
Master
TYPE
Course
MODES
-
LANGUAGE
-
ECTS
-
PERIOD
25/04/2022 to 19/07/2022

Course Description

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.

Educational-info

Validation mode

Written Examination

Organizer

Partner

Friedrich-Alexander-Universität Erlangen-Nürnberg

Faculty

Faculty of Business, Economics, and Law

Department

Statistics and Econometrics

Contact or registration links