R codes for Tutorial

Link: Karlsruher Institut für Technologie (KIT), Lehrstuhl für Ökonometrie und Statistik (STAT)

Overview:

• Problem Set 1: R code of P1, P2
  • Last updated: 17.05.2018
• Problem Set 2: R code of P3
  • Last updated: 30.05.2018
• Problem Set 3: Answer of P4, P5
• Problem Set 4: R code of P6, P7
  • P6: Q&A of ACF
• Problem Set 5: P8, R code of P9
  • P9: R function Lo.Mac and Boot.test
  • P9: Dataset: exrates.csv
• Problem Set 6: P10

Task List of the Tutorial:

1. Financial Returns: Basic Concepts and Properties

• 1.1. Introduction
• 1.2. Financial Time Series
• 1.3. Distributional Properties of Financial Returns

2. Time Series Foundations and Price Dynamics

• 2.1. Foundations in Time Series Analysis
• 2.2. Financial Prices and Returns

3. Modelling Time-Varying Volatility

• 3.1. Introduction
• 3.2. GARCH Models