Financial markets create many time series, for example, stock prices and foreign currency exchange rates. In this course, you'll learn advanced statistical techniques to handle financial time series. The objectives are to model the stochastic mechanism that generates the observed series and to predict the future values of a series based on the history of that series.
Emphasis is given to multivariate and nonlinear methods applied to high-frequency financial data.
Forecasting Economic Time Series by Michael Clements, David Handry, David Hendry, Cambridge University Press, 1998. A Dynamical System Approach , by Howell Tong. Clarendon Press Oxford, 1990. Modelling Financial Time Series , by Stephen Taylor. John Wiley and Sons, 1986.