This course introduces time series methodology to the MSCF program. Emphasis will be placed on the data analytic aspects related to financial applications. Both the time domain and the frequency domain approach will be introduced. Topics studied in this course include univariate ARIMA modeling, forecasting, seasonality, model identification and diagnostics. Related applications to finance such as time series modeling of equity returns, trading day effects, and volatility estimations will also be discussed. In addition, recent advancements in financial time series including the unit root phenomenon, cointegration, GARCH and stochastic volatility modeling, trend break analysis and nonlinearity will be covered.
Chatfield, C (1996). The Analysis of Time Series, (5th Ed.) Chapman and Hall, New York. Mills, T.C. (1993). The Econometric Modeling of Financial Time Series, Cambridge University Press, Cambridge. Campbell, J.Y., Lo, A.W. and MacKinlay, A.C.(1997). The Econometrics of Financial Markets. Princeton University Press.