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.
Assignment¶
Due Friday 5th Week Hilary
Computational Assignment III
Demo Autograder (Jupyter Notebook)
Demo Autograder (Python)
Solutions Template
Weekly Assignment¶
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