终于有空把高级时间序列的课程资料整理出来了。
此为美国某大学（详情参照syllabus）商学院“高级时间序列”课程资料。
此课程适合已经有时间序列基础，懂得AR、MA、ARMA模型的筒子们学习。

详情如下：

课本：Time Series Analysis-Univariate and Multivariate Methods

papers（参考文献）：
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Multivariate Stochastic Volatility via Wishart Processes
Conditional Heteroskedasticity in Asset Returns: A New Approach
Modeling Multiple Time Series With Applications
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Risk and Volatility: Econometric Models and Financial Practice
有的能在网上下到，有的网上没有pdf版。

Lectures：
分开下载是2金币一个，lectures的压缩包里包含所有的课件，方便大家下载合集。
下了压缩包的筒子们就不用下单独的课件了。课件单独放是方便查阅某方面资料的同学。
每次课都有详细的讲解和sas程序，自学也没问题的哦~

Lecture1: REVIEW: STATIONARY TIME SERIES
Lecture2:DISTRIBUTED LAG MODELS
Lecture3:MULTIPLE INPUT TRANSFER FUNCTION MODELS
Lecture4:VECTOR TIME SERIES MODELS
Lecture5:COVARIANCE MATRIX FUNCTION OF VAR(1)
Lecture6:VAR AR Processes(Con.)
Lecture7:Vector ARMA Processes
Lecture8:Nonstationary Models
Lecture9:MODELING CONDITIONAL VARIANCES
Lecture10:GENERALIZED ARCH MODEL
Lecture11:EXPONENTIAL GARCH MODEL
Lecture12:Dynamic Linear Models (DLM) and State-Space Representation
Lecture13:Steady Model

data：
包括所有lecture的data和一些sas程序

Assigment：
每次课的作业和final exam。里面有我自己的sas program，也有要用到的数据，有的作业还有答案。所以收费高一点。给想真心学习的同学。