# Financial Econometrics II: Week 1

#### Slides¶

Univariate Time Series Analysis

Univariate Time Series Analysis (Print Optimized)

In-person Slides (pdf)

In-person Slides (web)

In-person Slides (Jupyter Notebook)

##### Data Files

Time Series Data (pandas HDF) used in the IPython notebook-based slides.

###### Executing code in jupyter slides

See the instructions for installing the mfe package to install some function used in the slides.

#### Assignment¶

**Due Friday 5th Week Hilary**

Computational Assignment III

Demo Autograder (Jupyter Notebook)

Demo Autograder (Python)

Solutions Template

#### Weekly Assignment¶

##### Solutions

#### Practice Quiz¶

*Oxford MFE Students only (Canvas)*

#### Pre-lecture content¶

##### Reading

*The readings listed correspond to the pre-recorded content. You should either watch the pre-recorded content or read the notes prior to the Week 1 lecture.*

Sections 4.1-4.4 (ex 4.4.1), 4.6, and 4.7 from the Time Series Notes

##### Presentation

*Oxford MFE Students only (Canvas)*

- Introduction to Time Series Analysis
- Stochastic Processes
- Autocovariance
- Stationarity
- Ergodicity
- White Noise
- Linear Time Series Processes
- Autoregressive-Moving Average Processes
- Conditional Moments
- Stationarity of AR Processes
- Moments of an AR(1) Process
- Autocorrelations Structure of ARMA Processes
- Autocorrelation Structure of ARMA Processes
- Estimating Autocorrelations and Partial Autocorrelations
- Testing Autocorrelations and Partial Autocorrelations
- Parameter Estimation
- Model Building
- Model Diagnostics