Lehrveranstaltungen Wintersemester 2017/18: Master  

Time Series Analysis for Macroeconomics and Finance


Schedule Presentations


Lecturer: Prof. Dr. Bernd Süßmuth
Time: Tue, 17.15 - 18.45h
Classroom: Seminar room 7
Start: October 10, 2017
Language of instruction: English

Lecture slides, part I (Update)

Lecture slides, part II

Lecture slides, part III.1

Lecture slides, part III.2-III.3

Lecture slides, part III.4

Extra slides, part I

Problem Set 1

Problem Set 2

Problem Set 3

MGARCH exercise


Lab Session

Instructor: Dr. Pablo Duarte
Time: Thu, 17.15 - 18.45h
Computer pool 4
October 12, 2017
Language of instruction:

Lab Session 1 / Solution

Lab Session 2 / Solution

Lab Session 3 (datasets) / Solution

Lab Session 4 (dataset + bitcoin) / Solution

Lab Session 5 (dataset) / Solution (corrected!)

Lab Session 6 (dataset) / Solution

Lab Session 7 (see dataset 6) / Solution

Lab Session 8 (dataset) / Solution

[5 p.m.!] Lab Session 9 / Solution

Lab Session 10 / Solution

Lab Session 11 / Solution

Lab Session 12, Paper (data)/ Solution

Lab Session 13

Lab Session 14

Other useful sources for macreconomic and financial data are:
FRED (Federal Reserve Economic data)
IMF World Economic Outlook
IMF Data (Macro and Financial Data)
AMECO (Annual Macroeconomic Database, European Commission)

You can access Stata and Datastream (a powerful database for macroeconomic and financial data) in the PC Labs or throught the Faculty's Virtual Desktop using your student credentials. 

Information to set up the client.

letzte Änderung: 01.02.2018