Teaching

Instructor: Prof. Clifford Lam

Seminar delivery for the graduate time-series course, with emphasis on model structure and estimation.

• Week 2: Stationarities, ACVS and ACF Slides
• Week 3: White noise, AR and MA processes Slides
• Week 4: ARMA, stationarity and invertibility Slides
• Week 8: Yule-Walker, some asymptotic results, ARCH and GARCH Slides
• Week 9: Estimation, model selection, model diagnostics and forecasting for ARMA processes Slides

Instructor: Dr. Oliver Feng

Seminars, office hours, and marking support for the undergraduate time-series sequence.

• Week 2: Stationarities, ACVS and ACF Slides
• Week 3: AR and MA processes Slides
• Week 4: AR, MA and ARMA processes Slides
• Week 7: PACF and ARIMA processes Slides
• Week 8: Yule-Walker estimator and some asymptotic results Slides
• Week 9: Estimation, model selection, model diagnostics and forecasting for ARMA processes Slides