20142015:MODULEDESCRIPTION

Module

Time Series Analysis

Modulecode

ECOM014

Creditvalue

15

Moduleconvenor:

LiudasGiraitis

L.Giraitis@qmul.ac.uk
Room CB 301 (office hour: Friday 2-4pm)

Formalassessment

20% midterm test

80%finalexam

Otherassessment
Teachingarrangements
Lectures(3hours,weekly)

Supportclasses(0h,weekly)

N/A

Teachingteamandcontactdetails
SemesterA

Name

email

Name

email

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ModuleOverview

The aim of the course is to introduce students to the main time series models,
methods of their analysis and practical applications.

Moduleweeklysyllabus
The outline of the course is based on the following syllabus. Some of the topics will be
carried over consecutive weeks:
1. Stylized facts of financial data. Returns, trend, seasonality. Summary statistics. Testing for
symmetry and heavy tails.
2. Stationary time series. Covariance stationarity, white noise, Wold decomposition. Testing
for correlation.
3. Linear time series:
a) Autoregressive process. AR(1) and AR(2) models: properties and prediction, business
cycle. Order determination. Estimation of an AR(1) model.
b) Moving average models, properties and prediction, estimation, model selection rules.
c) ARMA models, estimation, order selection and forecasting, AR and MA representations.
4. Unit root models, random walk, random walk with a drift, trend stationarity, non-stationary
ARIMA models, Dickey-Fuller test.
5. Seasonal models, regression models with times series errors. Co-integration.

6. Introduction to conditional heteroscedasticity: ARCH, GARCH models.

ReadingList
Basicreadings:

LectureNotes

R.S.Tsay.AnalysisofFinancialTimeSeries.2ndedition,Wiley,2005.

Furtherreadings:

BrockwellP.J.andR.A.Davis,IntroductiontoTimeSeriesandForecasting,SpringerTextsin
Statistics,2002.

ChanN.H.,TimeSeries:ApplicationstoFinance,JohnWileyandSons,NewYork,2004.

HamiltonJ.D.,TimeSeriesAnalysis,PrincetonUniversityPress,PrincetonNewJersey,1994.
Otheradviceaboutthemodule
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