LECTURE NOTES

PROBABILITY & STATISTICS

Events and their probabilities
Discrete random variables
Continuous random variables
Estimation
Testing
Linear regression

Appendix A: Logic and set theory
Appendix B: Practice tests
Appendix C: Questions with solutions
Appendix D: Last exam


Supplementary material:

Logic and set theory: A(i), A(ii), A(iii), A(iv) 
Discrete random variables: DRV
Continuous random variables: CRV
Estimation: EST

TIME SERIES ANALYSIS WITH R

Trend
Time series operators
Moving average filters
Seasonal adjustment
Cycles
Spectral analysis
Autocorrelation
ARFIMA processes
Parametric spectral analysis
GARCH processes

Appendix A: Complex numbers
Appendix B: Notes for R novices
Appendix C: Handling time series
 
Projects:  P1  P2a  P2b  P3a  P3b   

FURTHER TOPICS

Exponential smoothing
The distribution of financial returns
Miscellanea

Supplementary material:

Periodogram A   Periodogram B   ARMA

ADVANCED TIME SERIES ANALYSIS

BASIC CONCEPTS & FORECASTING

Hilbert space geometry
The Hilbert space L2
The Wold decomposition

Automatic model selection
State-space models and the Kalman recursions

MULTIVARIATE TIME SERIES ANALYSIS

Basic elements of Fourier analysis
Cross spectral analysis
Multivariate ARMA processes

UNIT ROOT TESTS AND COINTEGRATION

Some asymptotic theory for AR(1) processes
Unit root tests
Cointegration

Supplementary material:

   Projects, R Code