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
- 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.
MVGARCH
李然组
SV Model
冯靖 李嘉琪 周文莉 张珺 鲁梦雅 仇亦斌 洛松加永 MVGARCH
张晋婕组 MVGARCH
杜丹丹 王卓莹 张映映 吴佳保 秦非 刘远
MVGARCH
舒滕嘉 秦晨 苏馨 魏瑶涵 徐晓 吴沂桐 徐蕙心 SV Model介绍
张羽 马怡然 沐浩 杨非凡 孙浩 翟晋 MVGARCH
王珏，田宇，王玉坤 改！
ARMA—GARCH
李然，李瑞英，李思颖，李怡 改！！log-Garch模型
张晋婕 张莹 张楚溦 改！！ GJR-GARCH
吴佳保 冯晓刚 孙浩 秦非 CCC-GARCH
刘远 曹婷婷 樊文静 范薇 GARCH-M
刘远 曹婷婷 樊文静 范薇
张晋婕 张莹 张楚溦 SV-T
张羽 翟晋 马怡然 沐浩 CHARMA
李然，李瑞英，李思颖，李怡，SV-M模型
MRS—GARCH
王珏，田宇，王玉坤
冯靖 李嘉琪 杨非凡 仇亦斌
GARCH-M
NGARCH
吴沂桐 魏瑶涵 徐晓 徐蕙心
张羽 翟晋 马怡然 沐浩 EGARCH
洛松加永 张映映 杜丹丹 王卓莹 EGARCH
牛春丽 孟芷汀 李楠 IGARCH
Dear professor Li:
we will choose the EGARCH model as our pfesentation content.
周文莉 张珺 鲁梦雅 GARCH T
周文莉 鲁梦雅 张珺 GARCH-T
舒滕嘉 秦晨 苏馨 DCC-GARCH