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MFE Financial Econometrics II: Week 2

Teaching material from Week 2.

Financial Econometrics II: Week 2


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

Week 2 Assignment


Week 2 Assignment Solution

Practice Quiz

Oxford MFE Students only (Canvas)

Week 2 Quiz

Pre-lecture content


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


Oxford MFE Students only (Canvas)

  1. The Information Set
  2. Loss Functions
  3. Forecasting
  4. Mincer-Zarnowitz Tests
  5. Diebold-Mariano Tests
  6. Nonstationary Time Series
  7. The Lag Operator
  8. Seasonality
  9. ARMA Modeling of Seasonality
  10. Random Walks, Unit Roots and Stochastic Trends
  11. Testing for Unit Roots
  12. Seasonal Differencing
  13. Self-Exciting Threshold Autoregression
  14. Markov-Switching Models