Time Series Analysis (2015 Spring)

Notice

• 2015-Mar-07: The lecture room has changed
  
  • Odds weeks: Thursday 8-10am, Main Building 401.
  • Even weeks: Thursday 8-10am, Building 4, Lab 214.

Literature

• Tsay, Ruey S. Analysis of financial time series. 3rd Edition. John Wiley & Sons, 2010.
• Tsay, Ruey S.  Multivariate Time Series Analysis: With R and Financial Applications. John Wiley & Sons, 2013.

Lecture notes

• L1: Introduction to Time Series Analysis
• L2: Linear Time Series | R code
• L3: Conditional Heteroscedastic Models | R code
• L4: Introduction to Multivariate Time Series Models | R code
• L5: Multivariate Volatility Models | R code
• L6: Factor Models | R code
• L7: Multivariate Time Series with Copulas | R code
• L8: Extreme Value Theory (Guest Lecture)

Data sets

Data sets can be retrieved from

• http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/
• http://faculty.chicagobooth.edu/ruey.tsay/teaching/mtsbk/

Lab Exercises

Please send your solution to me before the due day. Please use the string “TS2015SPRING” in your mail subject line. Your submission will be ignored without such string.