Time Series

Read these first

1. 01ACF and PACF Model Identification

   Two fingerprint plots that tell you, before you fit anything, roughly how many lags of a time series' own past actually matter, the first step of building an ARIMA model instead of guessing at one.

2. 02Box-Jenkins Model Building

   The disciplined three-step loop, identify, fit, check the leftovers, for building an ARIMA model without either underfitting the structure or overfitting the noise.

3. 03Realized Volatility Estimation

   How to turn a day's worth of high-frequency price ticks into a single, far more accurate volatility number than squaring one close-to-close return, and why simply using more and more ticks eventually makes the estimate worse, not better.

4. 04The Periodogram and Spectral Density

   A way to re-view a time series not as a sequence over time but as a mixture of hidden cycles of different lengths, so a repeating pattern in the data shows up as a spike you can point to, instead of something you have to spot by eye.

5. 05The Vector Error Correction Model

   The regression that lets two cointegrated series drift apart in the short run but always adds a pull back toward their long-run relationship, the engine behind statistical-arbitrage pairs trading.

Then the rest

1. 06Changepoint Detection and CUSUM
2. 07Forecast Combination and Averaging
3. 08Forecast Evaluation and Accuracy Metrics
4. 09Lead-Lag and Cross-Correlation Analysis
5. 10Ljung-Box and Portmanteau Tests
6. 11SARIMA and Seasonal Models
7. 12The ARCH-LM Test for Volatility Clustering
8. 13The HAR-RV Forecasting Model
9. 14The Hodrick-Prescott Filter
10. 15The Variance Ratio Test
11. 16ARFIMA Long-Memory Models
12. 17Dynamic Factor Models
13. 18EGARCH and Asymmetric Volatility
14. 19Impulse Response Functions
15. 20MIDAS and Mixed-Frequency Regression
16. 21Multivariate GARCH and DCC
17. 22Particle Filters and Sequential Monte Carlo
18. 23Structural VAR Identification
19. 24The Diebold-Mariano Test
20. 25The Hurst Exponent and Long Memory
21. 26The Johansen Cointegration Test
22. 27The KPSS Stationarity Test
23. 28The Wold Decomposition
24. 29Threshold and Smooth Transition Models
25. 30Trend-Stationary Versus Difference-Stationary Series
26. 31Wavelet Analysis of Time Series