- 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.
- 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.
- 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 can be retrieved from
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