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Ökonometrie und deren Anwendung – Econometrics and their Applications

Betreuung durch: Philipp Otto, Daniel Ambach

(1) Räumliche Analyse des deutschen Grundstückmarktes – Spatial Analysis of the German Real Estate Market (Bachelor - Topic)
  • spatial descriptives (Moran I etc.)
  • historical developement of spatial econometrics
  • dataset can be provided
  • panel data models
Cressie, N. (1993). Statistics for spatial data. J. Wiley. Hoboken
Holly, s, Pesaran, M.H., Yamagata T. (2010). A spatio-temporal model of house prices in the USA. Journal of Econometrics.
Moran, P. A. P. (1950). "Notes on Continuous Stochastic Phenomena". Biometrika 37
Anselin, L. (2010). "Thirty years of spatial econometrics". Papers in Regional Sciences.

(2) Pendlerströme in Polen – Commuter Streams in Poland (Bachelor - Topic)
  • descriptives
  • commute distances
  • dataset can be provided
Kruszka, K. (2010). Dojazdy do pracy w Polsce. GUS. Poznan
Cressie, N. (1993). Statistics for spatial data. J. Wiley. Hoboken
Roseman, C.C. (1971). Migration as spatial and temporal process. Annals of the Association of American Geographers

(3) Räumliche/zeitliche Analyse verschiedener ökonomischer Indikatoren – Spatial/Temporal Analysis of Different Economic Indicators (Bachelor - Topic)
  • economic indicators, as GDP, unemployment rate, migration balance etc.
  • either temporal or spatial descriptive analysis
  • spatial/temporal model in order to forecast
  • dataset can be provided
Cressie, N. (1993). Statistics for spatial data. J. Wiley. Hoboken
Cressie, N., Wikle, C.K (2011). Statistics for spatial-temporal data. J. Wiley. Hoboken
Anselin, L. (2010). "Thirty years of spatial econometrics". Papers in Regional Sciences.
Anselin, L., Le Gallo, J., Jayet, H. (2008). Inbook, Chapter 19: "Spatial Panel Econometrics", Springer, Berlin

(4) Comparison of Different Time Series Models and their Application to Financial Data and Economic Indicators - Vergleich verschiedener Zeitreihenmodell und deren Anwendung auf Finanzdaten und ökonomische Indikatoren (Master - Topic)
  • univariate time series model (for example: ARMA, AR, GARCH, ARCH, eGARCH, ARIMA or ARMA - GARCH
  • multivariate time series model (for example: VAR or VARMA
  • application to financial data and/or other macroeconomic indicators
Hamilton, J. (1994). Time series analysis, Princeton University Press, New Jersey.
Ruppert, D. (2004). Statistics and finance. New York. Springer.
Schlittgen, R. (2012). Angewandte Zeitreihenanalyse mit R. 2nd ed. München. Oldenbourg.
Kreiß, J.-P., Neuhaus, G. (2006). Einführung in die Zeitreihenanalyse. Heidelberg.

(5) Long Memory Processes and their Applications - Prozesse mit hoher Korrelation und deren Anwendung (Master - Topic)
  • difference of credit returns and market returns
  • computation of the probability of credit rating migration (transition matrix)
  • credit risk measures to characterize credit risk
Brockwell, P.J. and Davis, R.A. (1991). Time Series: Theory and Methods, Springer, New York.
Baillie, R.T., Chung, C.-F. and Tieslau, M.A. (1995). Analyzing in ation by the fractionally integrated ARFIMA-GARCH model, Journal of Applied Econometrics, 11:23-40.
Härdle, W., Hautsch, N. and Pigorsch, U. (2008). Measuring and modeling risk using high-frequency data. Discussion Paper.