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Financial Time Series


Financial Time Series


All relevant materials will be available in due course on this page.

Marks are not negotiable. I do not reply to questions in any form about marks.


We will have 156 min of teaching with one 10-min break after 80 min of lectuers every time, except the lectures on 6 March, when we will have 100 min of teaching without a break.

Office hour

Please book a slot by sending me an email.

Main references

1. Analysis of Financial Time Series. Wiley, 2010.

R. S. Tsay

2. Introduction to Time Series and Forecasting. Springer, 2003.

P. J. Brockwell and R. A. Davis

3. New Introduction to Multiple Time Series Analysis. Springer, 2005.

H. Lütkepohl

4. Statistical Models and Methods for Financial Markets. Springer, 2008.

T. L. Lai and H. Xing


Project 1 (due date: 21 Feb). Solution 1

Project 2 (due date: 16 Mar). Solution 2

Project 3 (due date: 1 May). Solution 3

R demo

Data set: wine. Introduction.

ARMA processes examples.

Data sets: aapl, spy. GARCH processes examples.

Data sets: DGS1, DGS5, DGS10. Cointegration examples.

Lab session materials can be found here.

Lecture notes

17 Jan, 24 Jan, 5 Feb, 7 Feb, 14 Feb, 21 Feb, 28 Feb, 6 Mar.