Analysis of Financial Time Series

Code: TIL.304

credit units: 5 cu

Teachers: Researcher Bernd Pape (University of Vaasa) and Professor Johan Knif (Hanken, Swedish School of Economics and Business Administration, Vaasa)

Teaching: (English) Lectures 52 h, including demonstrations 12 h.

Period: January 26 to April 15, 2005

Place: Hanken (Vaasa) 26/01 - 25/02, University of Vaasa 09/03 - 15/04

Schedule: Wednesdays and Fridays 9-12h.
The first lecture will be on Wednesday, January 26th at Hanken in room 142.
For the detailed schedule, including rooms, click here.

Requirements for the credit units: Exam.

Course objective: Provide the student sufficient skills to apply modern time series methods in analyzing economic time series.


I Basic univariate time series analysis
II Vector autoregressive models
III State space modeling
IV Frequency domain analysis

Lecture Notes:
Note on conditional distributions
ARCH models
Generalized ARCH models
Regime Switching models
Vector Autoregressions
Exogeneity, Causality and Dependence
Variance Decomposition and Innovation Accounting

Exercise Sheet 1
Exercise Sheet 2
Exercise Sheet 3
Exercise Sheet 4

Nordic Eviews File (save first and open then from Eviews)

Course literature: Hamilton, J.D. (1994). Time Series Analysis, Princeton University Press, New Jersey. Mills, T.C. (1999). The Econometric Modelling of Financial Time Series, Second Edition, Cambridge University Press, New York.
Additional reading: Tsay, Ruey, S. (2002). Analysis of Financial Time Series, Wiley.
Alexander, Carol (2001). Market Models. A Guide to Financial Data Analysis. Wiley.
Enders, Walter (1995). Applied Econometric Time Series: A Users Guide. Wiley.
See also John Cochrane's excellent lecture text Time Series for Macroeconomics and Finance (pdf).
Highly recommeded substance based book: Cochrane, John (2001). Asset Pricing. Princeton University Press.

Exam Dates at the University of Vaasa:
PartII and Final Exam (Attempt 1):Friday, April 22nd, 12-16h
Final Exam (Attempt 2): Monday, May 30th, 12-16h
Final Exam (Attmept 3): Monday, October 24th, 12-16h
Exam dates at Hanken ar May 16th and June 1st.
No more than three attempts are allowed to pass the exam!