1. Introduction to Time Series Modeling
   
   
2. Stationary Processes
   
   
3. Linear Stationary Models-ARMA Models
   
   
4. Spectral Analysis
   
   
5. Modeling and Forecasting with ARMA Processes
   
   
6. Linear Nonstationary(ARIMA) and Seasonal Models
   
   
7. Multivariate Time Series
   
   
8. State-Space Models
   
   
9. Other Forecasting Techniques
   
   
10. Nonlinear Models (ARCH, GARCH)
    
    

“Introduction to Time Series and Forecasting”, by P. J. Brockwell and R. A. Davis, Springer, 2nd Edition, 2002.

1. “Time Series Analysis: Forecasting and Control”, by G. E. P. Box, G. M. Jenkins and G. C. Reinsel, Prentice Hall, 4rd Edition, 2008.
   
   
2. “ARCH Models and Financial Applications”, C. Gourieroux, Springer, 1997.
   
   

30% Midterm Exam, 30% HWs and Project, 40% Final Exam

You will be provided with a cheat sheet.

If you have a disability that influences testing procedures, provide me an official letter from the Office of Disability Services at the start of the semester.

All exams are closed book, closed notes, and no cell phones, no electronic or hard copy cheat sheets are allowed. Please go over the Rutgers Academic Integrity Policy.

I do NOT tolerate cheating. Students are responsible for understanding the RU Academic Integrity Policy. I will strongly enforce this Policy and pursue all violations. On all examinations and assignments, students must sign the RU Honor Pledge, which states, “On my honor, I have neither received nor given any unauthorized assistance on this examination or assignment.” Don’t let cheating destroy your hard-earned opportunity to learn.