MAP658 - Introduction to Time series (2022-2023)

General objectives
The main goal of this course is to introduce and explain the statistical methods used for the analysis
and forecasting of certain nancial time series. This domain of applications have given rise to
substantial modeling e orts in the last decades, which allow one to consider many types of nancial
time series (price returns, rates, transactions data): linear time series, conditionally heteroscedastic
time series, multivariate time series, discrete time series and so on. The main classes of linear and
non-linear models will be introduced as well as the statistical methods associated to them.
The main prerequisites to attend this course are the bases of linear algebra, Hilbert geometry,
probability and statistics.
Core information
Schedule: Mid-March to end of March.
ECTS: 2.5
Evaluation: Case study report with executable R code in the form of an R Markdown document,
and presentation.
Outline
The precise outline is as follows.