• Time Series
  • 1. Time Domain and Frequency Domain Analysis
    • 1.1 Autocovariance and Autocorrelation Function
    • 1.2 The Periodogram and the Spectrum of a Series
  • 2. Linear Models
    • 2.1 Autoregressive Models
    • 2.2 Autoregressive Moving Average Models
    • 2.3 Estimating ARMA Processes
  • 3. Nonlinear Models
    • 3.1 Several Examples of Nonlinear Models
    • 3.2 Nonlinearity in the Conditional Second Moments
    • 3.3 Estimating ARCH Models
    • 3.4 Testing for ARCH
  • Bibliography