Financial Econometrics II: Week 2
Slides¶
Same as week 1
Univariate Time Series Analysis
Univariate Time Series Analysis (Print Optimized)
New this week
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.
Practical Assignment 4¶
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 2 lecture.
Sections 4.9-4.11 and 4.13 from the Time Series Notes
Presentation
Oxford MFE Students only (Canvas)
- The Information Set
- Loss Functions
- Forecasting
- Mincer-Zarnowitz Tests
- Diebold-Mariano Tests
- Nonstationary Time Series
- The Lag Operator
- Seasonality
- ARMA Modeling of Seasonality
- Random Walks, Unit Roots and Stochastic Trends
- Testing for Unit Roots
- Seasonal Differencing
- Self-Exciting Threshold Autoregression
- Markov-Switching Models