FINANCIAL TIME SERIES ANALYSIS
Outline:
- Financial Time Series and Their Characteristics
- Linear Time Series Analysis and irs Applications
- Conditional Heteroscedastic Models
- High-frequence Data Analysis and Market Microstructure
- 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:
- Ruey S. Tsay, Analysis of Financial Time Series
- Ngai Hang Chan, Time series : Applications to Finance with R and S-Plus
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