Course: Time Series Analysis

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Course title Time Series Analysis
Course code UMKM/PACR
Organizational form of instruction Lecture + Lesson
Level of course Bachelor
Year of study not specified
Semester Winter
Number of ECTS credits 5
Language of instruction Czech
Status of course Compulsory
Form of instruction Face-to-face
Work placements This is not an internship
Recommended optional programme components None
Lecturer(s)
  • Zapletal David, Mgr. Ph.D.
  • Kubanová Jana, doc. PaedDr. CSc.
Course content
Introduction to time series and their characteristics. Decomposition of time series. Modeling of trend component by trend functions. Diagnostic of trend function. Modeling of trend component by moving averages simple, weighted, centered. Exponential smoothing simple, double, Holts method. Modeling of seasonal component simple and regression approach. Holt-Winters method. Time series transformations. Randomness testing. Introduction to Box-Jenkins methodology.

Learning activities and teaching methods
Monologic (reading, lecture, briefing), Work with text (with textbook, with book), Methods of individual activities, Skills training
Learning outcomes

Students will be able to apply obtained skills in solving concrete problems especially in economic area.
Prerequisites
Supposes knowledge of topics teached in subjects PPST, PPAS1 and PPAS2.

Assessment methods and criteria
Oral examination, Written examination, Home assignment evaluation

Assignment - active participation in seminars. Passing written test with evaluation at least 60%. Examination - oral.
Recommended literature
  • ARLT, J., ARLTOVÁ, M. Ekonomické časové řady.. Praha, 2007.
  • ARLT, J., ARLTOVÁ, M., RUBLÍKOVÁ, E. Analýza ekonomických časových řad s příklady.. Praha, 2002.
  • CIPRA, T. Finanční ekonometrie. Praha, 2008.
  • Rublíková, Eva. Analýza časových radov. Bratislava: Iura Edition, 2007. ISBN 978-80-8078-139-2.


Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Faculty of Economics and Administration Management of Financial Risks (2015) Economy 3 Winter
Faculty of Economics and Administration Management of Financial Risks (2014) Economy 3 Winter
Faculty of Economics and Administration Management of Financial Risks (2013) Economy 3 Winter