Time Series Analysis (2017 Spring)

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
• Guest Lecture:
  • Professor WU, BER-LIN, Department of Mathematical Sciences, National Chengchi University
  • Topic: Quantitative  Measurement for New Econometric Era
• L5: Multivariate Volatility Models | R code
  • Multivariate Stochastic Volatility Models
  • Analysis of high dimensional multivariate stochastic volatility models
  • Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
• L6: Factor Models | R code
• L7: Multivariate Time Series with Copulas | R code

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 “TS2017spring” in your mail subject line. Your submission will be ignored without such string.