Lecturer: Michael Björklund (micbjo@chalmers.se)

Note: Lectures 1-4 will be given by Mattias Sundén (mattias.sunden@economics.gu.se).

Feel free to also consult the video lectures by Andreas Pettersson from 2020. You can find them here.

[LP] = script by Annika Lang and Andreas Pettersson which you can find here.

[BD] = P. J. Brockwell, R. A. Davis: Introduction to Time Series and ForecastingLinks to an external site., 3rd edition, (free within Chalmers)

[T] = R. S. Tsay: Analysis of Financial Time Series, 3rd edition.

-----------------------------------------------------------------------------------------------------------------------------------

Week 1:

Lecture 1: Tuesday 21/3 (10.00-11.45, MVF31)

Chapters: LP 2.1

What is a time series? Some examples. A little bit about log-returns.

Slides (Lecture 1) from 2020

-----------------------------------------------------------------------------------

Lecture 2: Thursday 23/3 (13.15-15.00, Pascal)

Chapters: LP 2.2-2.3, BD 2.1

Stationary time series, autocorrelation function, statistical quantities.

Slides (Lecture 2) from 2020

------------------------------------------------------------------------------------

Week 2:

Lecture 3: Tuesday 28/3 (10.00-11.45, MVF31)

Chapters: LP 2.3-2.4, BD 1.6, 2.4-2.5

Statistical quantities, tests for iid, introduction to forecasting, best preditors.

Slides (Lecture 3) from 2020

------------------------------------------------------------------------------------

Lecture 4: Thursday 30/3 (13.15-15.00, Pascal)

Chapters: LP 2.4, BD 2.5

Best linear predictors, Durbin-Levinson algorithm, lemma innovations algorithm.

Slides (Lecture 4) from 2020

------------------------------------------------------------------------------------

EASTER BREAK

------------------------------------------------------------------------------------

Week 3:

Lecture 5: Thursday 13/4 (8.00-9.45, Pascal)

Chapters: LP 2.4-2.5, BD 1.5, 2.5, 6.4

Innovations algorithm, trend and seasonality.

Slides (Lecture 5) from 2020

------------------------------------------------------------------------------------

Week 4:

Lecture 6: Tuesday 18/4 (10.00-11.45, MVF31)

Chapters: LP 3.1-3.2, BD 2.2, 3.1

Linear time series, ARMA models.

Slides (Lecture 6) from 2020

------------------------------------------------------------------------------------

Lecture 7: Thursday 20/4 (13.15-15.00, Pascal)

Chapters: LP 3.2.1-3.2.4, BD 3.2, 5.3-5.5

ARMA models: (P)ACF, parameter estimation, order identification.

Slides (Lecture 7) from 2020

------------------------------------------------------------------------------------

Week 5:

Lecture 8: Tuesday 25/4 (10.00-11.45, MVF31)

Chapters: LP 3.2.5-3.3, BD 3.3, 6.1-6.4

ARMA models: forecasting, (S)ARIMA and unit root tests.

Handwritten notes

Slides (Lecture 8) from 2020

------------------------------------------------------------------------------------

Lecture 9: Thursday 27/4 (13.15-15.00, Pascal)

Chapters: LP 4.0-4.1, BD 7.1-7.2, T 3

Introduction to GARCH models.

Handwritten notes

Slides (Lecture 9) from 2020

------------------------------------------------------------------------------------

Week 6:

Lecture 10: Tuesday 2/5 (10.00-11.45, MVF31)

Chapters: LP 4.2-4.4, BD 7.1-7.3, T 3

Parameter estimation, order selection and extension of GARCH models

Slides (Lecture 10) from 2020

------------------------------------------------------------------------------------

Lecture 11: Thursday 4/5 (13.15-15.00, Pascal)

Chapters: LP 5.1, BD 11.3, T 4.1

GARCH in practice, nonlinear models.

Slides (Lecture 11) from 2020

------------------------------------------------------------------------------------

Week 7:

Lecture 12: Tuesday 9/5 (10.00-11.45, MVF31)

Chapters: LP 5.2-5.3 , BD 11.3 , T 4.1-4.2

Testing for nonlinearities, nonparametric methods.

Slides (Lecture 12) from 2020

------------------------------------------------------------------------------------

Lecture 13: Thursday 11/5 (13.15-15.00, Pascal)

Chapters: T 4.4

Bootstrapping, forecasting, and error measures.

Slides (Lecture 13) from 2020

------------------------------------------------------------------------------------

Week 8:

Lecture 14: Tuesday 16/5 (10.00-11.45, MVF31)

Demonstration of the exam of August 22, 2019.

Slides (Lecture 14) from 2020

------------------------------------------------------------------------------------

Week 9:

Lecture 15: Tuesday 23/5 (10.00-11.45, MVF31)

Demonstration of exam.