I. Stationary Time Series Models
1. Stationary ARMA Series
2. Identification and Estimation of ARMA Models
3. Hypothesis Testing and Diagnostic Tests
4. Forecasting
5. Application: Modeling Financial Time Series
II. Volatility Models
1. GARCH and Related Models
2. Estimation and Tests of GARCH Models
3. Application: Modeling Financial Volatility
III. Non-Stationary Time Series Models
1. Non-Stationary Time Series
2. Tests of Unit Root
3. Tests of Cointegration
4. Estimation of Cointegration Systems and Error Correction Models
5. Application: Modeling Co-Movement of Financial Time Series
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