Table of Contents
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.
- Tips: On Writing Mail Well
- Please use the string “TS2016SPRING” in your mail subject line. Your submission will be ignored without such string.
Dear professor Li：
we will choose the DCC-GARCH model as our presentation content.
Dear professor Li：
we will choose the APARCH model as our presentation content.
Dear professor Li：
we will choose the Long-Memory Stochastic Volatility Model as our presentation content.
Dear professor Li：
we will choose the component GARCH (CGARCH) model as our presentation content.
Dear professor Li：
we will choose the threshold GARCH (CGARCH) model as our presentation content.
Dear professor Li,
We will choose the FIGARCH model as our presentation content.
Dear professor Li,
We will choose the NGARCH model as our presentation content.
Dear professor Li：
we will choose the GJR-GARCH model as our presentation content.
Dear professor Li：
we will choose the Stochastic Volatility Model as our presentation content.
Dear professor Li：
we will choose the stochastic volatility (SV) model as our presentation content.
Dear professor Li：
we will choose the threshold GARCH (TGARCH) model as our presentation content.
Dear professor Li：
we will choose the EGARCH model as our presentation content.
Dear professor Li：
we will choose the IGARCH model as our presentation content.
Dear professor Li：
we will choose the GARCH—M model as our presentation content.
Dear professor Li：
we will choose the IGARCH model as our presentation content.