Time Series Analysis

  1. Volatility Modeling
    1. Heteroskedasticity in Time Series
      1. Conditional vs. Unconditional Variance
        1. Volatility Clustering
          1. ARCH Effects Testing
          2. ARCH Models
            1. Basic ARCH Structure
              1. Parameter Estimation
                1. Forecasting Volatility
                  1. Model Extensions
                  2. GARCH Models
                    1. GARCH(1,1) Model
                      1. Higher-Order GARCH
                        1. Parameter Constraints
                          1. Volatility Forecasting
                          2. GARCH Extensions
                            1. EGARCH Models
                              1. GJR-GARCH
                                1. TGARCH
                                  1. Component GARCH
                                  2. Multivariate GARCH
                                    1. BEKK Models
                                      1. DCC Models
                                        1. Factor GARCH
                                        2. Applications
                                          1. Financial Risk Management
                                            1. Option Pricing
                                              1. Portfolio Optimization

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                                            9. Advanced Univariate Models

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                                            11. Multivariate Time Series