Time Series Analysis

Autumn semester 2020

General information

Lecturer Fadoua Balabdaoui
Assistant Loris Michel
Lectures Wed 9-10 (online); Thu 10-12 (online)
Course catalogue data >>


All the contents have been moved to the course Moodle and the new material will be added regularly there.

Course content

The course offers an introduction into analyzing times series, that is observations which occur in time. The material will cover Stationary Models, ARMA processes, Spectral Analysis, Forecasting, Nonstationary Models, ARIMA Models and an introduction to GARCH models.

The key topics which will be covered are:

  • Stationarity
  • Autocorrelation
  • Trend estimation
  • Elimination of seasonality
  • Spectral analysis, spectral densities
  • Forecasting
  • ARMA, ARIMA, Introduction into GARCH models
  • Announcements

    • September 14th, 2020:
      Beginning of lectures: Wednesday, 16.09.2020 at 09:15.

    Course materials

    • All materials for the lecture (script, slides, exercises, solutions, lecture recordings and additional notes) will be provided on the Moodle online learning platform: Time Series Analysis Moodle
    • Slides used in the course will be available in due time. Exercises as well as solutions will also be provided.
    25.09.2020 01.10.2020 07.10.2020 13.10.2020 23.10.2020 25.10.2020 26.10.2020 31.10.2020 10.11.2020