Advanced Time Series Analysis

This course focuses on advanced time series analysis techniques, including cointegration, VAR models, and state-space models. The course also covers regression models, univariate and multivariate time series, volatility modeling, nonparametric and semiparametric methods, HAR inference, autoregressive filtering, and continuous-time finance, with an emphasis on real-world financial and macroeconomic data. As the lead instructor, I provided students with the skills to model complex financial and economic time series data.

The course aims to integrate theory, methodology, empirical applications, and computation. The teaching ecosystem also includes open-source lecture slides, a course website (Course Website), and GitHub repository for R code (GitHub Repository), supporting students’ learning and research.

Hours: 60 hours