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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。
Syllabus of ATS.pdf
(41 KB)
Lectures.rar
(1.14 MB, 需要: 24 个论坛币)
本附件包括：- DNSC_8328_Lecture_Set_1.pdf
- DNSC_8328_Lecture_Set_2.pdf
- DNSC_8328_Lecture_Set_3.pdf
- DNSC_8328_Lecture_Set_4.pdf
- DNSC_8328_Lecture_Set_5.pdf
- DNSC_8328_Lecture_Set_6.pdf
- DNSC_8328_Lecture_Set_7.pdf
- DNSC_8328_Lecture_Set_8.pdf
- DNSC_8328_Lecture_Set_9.pdf
- DNSC_8328_Lecture_Set_10.pdf
- DNSC_8328_Lecture_Set_11.pdf
- DNSC_8328_Lecture_Set_12.pdf
- DNSC_8328_Lecture_Set_13.pdf
DNSC_8328_Lecture_Set_2.pdf
(155.03 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_13.pdf
(62.83 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_12.pdf
(99.87 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_11.pdf
(141.52 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_10.pdf
(228.17 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_9.pdf
(199.74 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_8.pdf
(132.61 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_7.pdf
(218.63 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_6.pdf
(97.21 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_5.pdf
(108.06 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_4.pdf
(67.71 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_3.pdf
(177.24 KB, 需要: 2 个论坛币)
DNSC_8328_Lecture_Set_1.pdf
(98.37 KB, 需要: 2 个论坛币)
Time Series Analysis-Univariate and Multivariate Methods.rar
(12.62 MB)
本附件包括：- Time Series Analysis-Univariate and Multivariate Methods.pdf
papers.rar
(6.02 MB, 需要: 6 个论坛币)
data&program.rar
(18.08 KB, 需要: 6 个论坛币)
Assignment.rar
(288.86 KB, 需要: 18 个论坛币)
本附件包括：- New Text Document.txt
- DNSC_8328_Final_2011.pdf
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