## 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