This course focuses exclusively on Time Series Analysis (TSA)
designated for advanced undergraduate or graduate students majoring
in economics or finance. Cointegration and financial econometrics
are two main topics but with only one-semester, I need to make a
quick pass on the former one so that I can devote more time on the
second one.
The course starts with a lecture introducing stochastic process, time series
model and statistical package extit{R} and extit{SCA}. we then spend 3 lectures covering
conventional univariate time analysis, including identification, estimation, diagnostic checking
and forecasting of a time series model. Unit root and cointegration
econometrics makes the second part. The third and main part
comprises univariate ARCH/GARCH, multivariate GARCH models and
stochastic volatility models. A brief review of extreme value
analysis and ultra high frequency financial econometrics concludes
this course.