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