Graduate Course on Time Series

This Winter, I will be giving a (graduate) course on time series, MAT8181. It is an ISM course, and even if it will probably be given in French, I will upload information here, in English. I will upload the (detailed) syllabus of the course during the Christmas holidays. But to give an overview, for those willing to register, the first part of the course will focus on linear models, univariate and then multivariate. The references for this first part are

In the second part, we will introcue non-linear models, used in financial econometrics, from ARCH to GARCH, as well as stochastic volatility models. The references for this second part are

[a pdf version can be found on Eric Zivot’s webpage]

Specific references and more details about the chapters will be given during the course. I will upload exercises this winter, as well as a list of articles that will be used for projects. Examples will be illustrated using R functions from dedicated packages.

Grades will be based on exercises (homework), report (based on a published paper) and final writen exam.


OpenEdition suggests that you cite this post as follows:
Arthur Charpentier (November 18, 2013). Graduate Course on Time Series. Freakonometrics. Retrieved March 25, 2025 from https://doi.org/10.58079/ousl


Leave a Reply

Your email address will not be published. Required fields are marked *

This site uses Akismet to reduce spam. Learn how your comment data is processed.