Time Series Analysis and Forecasting

  1. Advanced Statistical Models
    1. Volatility Models
      1. ARCH Models
        1. Model motivation
          1. ARCH(q) specification
            1. Parameter estimation
              1. Limitations
              2. GARCH Models
                1. GARCH(p,q) specification
                  1. Parameter estimation
                    1. Forecasting volatility
                    2. GARCH Extensions
                      1. EGARCH models
                        1. TGARCH models
                          1. IGARCH models
                            1. Multivariate GARCH
                          2. Vector Autoregression Models
                            1. VAR Model Specification
                              1. System of equations
                                1. Lag order selection
                                  1. Stationarity requirements
                                  2. Estimation Methods
                                    1. Ordinary least squares
                                      1. Maximum likelihood
                                        1. Bayesian methods
                                        2. Model Diagnostics
                                          1. Residual analysis
                                            1. Stability tests
                                              1. Specification tests
                                              2. Granger Causality
                                                1. Definition and testing
                                                  1. Interpretation of results
                                                  2. Impulse Response Analysis
                                                    1. Shock transmission
                                                      1. Confidence intervals
                                                        1. Structural identification
                                                        2. Forecast Error Variance Decomposition
                                                          1. Contribution analysis
                                                            1. Dynamic relationships
                                                          2. Cointegration and Error Correction Models
                                                            1. Cointegration Concepts
                                                              1. Long-run relationships
                                                                1. Spurious regression
                                                                  1. Cointegrating vectors
                                                                  2. Testing for Cointegration
                                                                    1. Engle-Granger test
                                                                      1. Johansen test
                                                                        1. Phillips-Ouliaris test
                                                                        2. Vector Error Correction Models
                                                                          1. VECM specification
                                                                            1. Error correction mechanism
                                                                              1. Short-run and long-run dynamics
                                                                            2. State Space Models
                                                                              1. State Space Representation
                                                                                1. State equation
                                                                                  1. Observation equation
                                                                                    1. System matrices
                                                                                    2. Kalman Filter
                                                                                      1. Prediction step
                                                                                        1. Update step
                                                                                          1. Recursive estimation
                                                                                            1. Smoothing algorithms
                                                                                            2. Structural Time Series Models
                                                                                              1. Local level models
                                                                                                1. Local trend models
                                                                                                  1. Seasonal models
                                                                                                    1. Intervention analysis
                                                                                                    2. Unobserved Components Models
                                                                                                      1. Trend-cycle decomposition
                                                                                                        1. Seasonal adjustment
                                                                                                          1. Signal extraction

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                                                                                                      5. Classical Forecasting Models

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                                                                                                      7. Machine Learning for Time Series