After successful completion of the course, students are able to

• explain the most important characteristic properties of non-stationary (integrated) processes,
• to explain and to carry out statistical tests for (non-) stationarity and
• to explain the classical models for conditional variance (volatility)

Linear univariate time series models (ARIMA) for stationary processes, characteristic properties of integrated processes, Donskers Theorem, tests for non stationarity (trend), modelling of conditional volatilities (GARCH)

Lecture with slides and example demonstrations (with R)

The course is planned entirely in presence. However, changes are possible due to the current COVID situation.

Oral examination

J.Y. Campbell, A.W. Lo, A.C. MacKinlay, The Econometrics of Financial Markets
T.C. Mills, The Econometric Modelling of Financial Time Series
P. Hackl, Einführung in die Ökonometrie

A basic knowledge of statistics and time series analysis.