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: Spatial-temporal time series and image analysis (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 solutions to me before the due day.

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• Please use the string “TS2016SPRING” in your mail subject line. Your submission will be ignored without such string.