Time Domain - The General Linear Process and its Approximation.

- Very Light Reading: Read about Nobel Prize winners Frisch, Tinbergen, Kuznets, Tobin, Klein, Modigliani, Friedman, Lucas, Engle, Granger, Prescott, Sargent, Sims, Fama, Shiller, and Hansen. Each made extensive contributions to, or use of, time series analysis. Other econometricians and empirical economists winning the Prize include Leontief, Heckman, McFadden, Koopmans, Friedman, Stone, Modigliani, and Haavelmo.

- Light Reading: "The Meaning of Slutzky," FRB Minneapolis Review, December 2009. The rare pop account that's both well written and well informed.

- Reading: Demirer, M., Diebold, F.X., Liu, L., and Yilmaz, K. (2018), "Estimating Global Bank Network Connectedness," Journal of Applied Econometrics. Slides here.

Markovian Structure, State Space, and the Kalman Filter
Likelihood Evaluation and Optimization

Reading: Aruoba, S.B. and Diebold, F.X. (AER 2010; FRB Philadelphia, 2008-present), "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, 100, 20-24. Slides here. ADS area on the FRB Philadelphia web site here.

Bayesian Filtering with Markov Chain Monte Carlo

Reading: Aruoba, S.B., Diebold, F.X., Nalewaik, J. Schorfheide, F. and Song, D. (2016), "Improving GDP Measurement: A Measurement-Error Perspective," Journal of Econometrics, 191, 384-397. Slides here. Also see the ADNSS area on the ADNSS area on the FRB Philadelphia web site here.

Volatility

Reading: Andersen, T.G., Bollerslev, T., Christoffersen, P.F. and Diebold, F.X. (2013), "Financial Risk Measurement for Financial Risk Management," in G. Constantinedes, M. Harris and R. Stulz (eds.), Handbook of the Economics of Finance, Elsevier, 1127-1220.

V-Lab at NYU