Time Series Analysis (2016 Spring)

Literature

Lecture notes

Data sets

Data sets can be retrieved from

Lab Exercises

Please send your solutions to me before the due day.

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15 comments

  1. Dear professor Li:
    we will choose the DCC-GARCH model as our presentation content.

  2. Dear professor Li:
    we will choose the APARCH model as our presentation content.

  3. Dear professor Li:
    we will choose the Long-Memory Stochastic Volatility Model as our presentation content.

  4. Dear professor Li:
    we will choose the component GARCH (CGARCH) model as our presentation content.

  5. Dear professor Li:
    we will choose the threshold GARCH (CGARCH) model as our presentation content.

  6. Dear professor Li,
    We will choose the FIGARCH model as our presentation content.

    1. Dear professor Li,
      We will choose the NGARCH model as our presentation content.

  7. Dear professor Li:
    we will choose the GJR-GARCH model as our presentation content.

  8. Dear professor Li:
    we will choose the Stochastic Volatility Model as our presentation content.

  9. Dear professor Li:
    we will choose the stochastic volatility (SV) model as our presentation content.

  10. Dear professor Li:
    we will choose the threshold GARCH (TGARCH) model as our presentation content.

  11. Dear professor Li:
    we will choose the EGARCH model as our presentation content.

  12. Dear professor Li:
    we will choose the IGARCH model as our presentation content.

  13. Dear professor Li:
    we will choose the GARCH—M model as our presentation content.

  14. Dear professor Li:
    we will choose the IGARCH model as our presentation content.

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