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FINANCIAL TIME SERIES ANALYSIS

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
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