Outline:

1. Financial Time Series and Their Characteristics
2. Linear Time Series Analysis and irs Applications
3. Conditional Heteroscedastic Models
4. High-frequence Data Analysis and Market Microstructure
5. Continuous-Time Models and their Applications

Objective:

The goals are to learn basic characteristics of financial data, understand the application of financial econometric models, and gain experience in analyzing financial time series.

Textbook:

1. Ruey S. Tsay, Analysis of Financial Time Series
2. Ngai Hang Chan, Time series : Applications to Finance with R and S-Plus