Introduction

The course offers an introduction to fundamental elements in the time series aspects of financial econometrics, focusing on the basic theory and related applications. The following topics are covered in details:

  • asset returns;
  • linear time series models;
  • heteroskedastic volatility models;
  • multivariate time series analysis (if there is enough time).

Lecture slides

  • [Lec 1]
  • [Lec 2]
  • [Lec 3]
  • [Lec 4]