# 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

###### Executing code in jupyter slides

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

#### 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