TIME SERIES STUDIES & GARCH MODEL

RUEY S. TSAY

http://www.chicagobooth.edu/faculty/directory/t/ruey-s-tsay#biography

http://faculty.chicagobooth.edu/ruey.tsay/teaching/

ERIC ZIVOT

http://faculty.washington.edu/ezivot/

PETER J. BROCKWELL

http://www.stat.colostate.edu/~pjbrock/

ROB J. HYNDMAN

http://robjhyndman.com/

Introduction to Time Series Analysis

 

 

MICROECONOMICS

Consumers, firms, and general equilibrium:
Arne Hallam (Iowa State), Microeconomics 
Nolan Miller (Harvard), Lecture Notes on Microeconomic Theory
Robert Nau (Duke), Seminar in Choice Theory
Sten Nyberg (SSE), Advanced Microeconomics
Ariel Rubinstein (Tel Aviv), Lecture Notes in Microeconomic Theory: The Economic Agent
Max Stinchcombe (Texas), Single-Person and Multi-Person Decision Theory 
Guoqiang Tian (Texas A&M), Microeconomic Theory
Nicholas Yannelis (Illinois), 
Lecture Notes in General Equilibrium Theory

Game theory and mechanism design:
Wayne Bialas (SUNY Buffalo), Game Theory
Bernard Caillaud (ENPC) / Benjamin Hermalin (Berkeley), Hidden Action and Incentives
Bernard Caillaud (ENPC) / Benjamin Hermalin (Berkeley), Hidden-Information Agency
Yongmin Chen (Colorado), Microeconomic Theory II
Peter Cramton (Maryland), Advanced Microeconomics
Christian Ewald (St Andrews), Games, Fixed Points and Mathematical Economics
Douglas Gale (NYU), Strategic Foundations of General Equilibrium
Benjamin Hermalin (Berkeley), Lecture Notes for Economics
Paul Klemperer (Oxford), Auctions: Theory and Practice

Levent Koçkesen
 (Columbia), Advanced Microeconomic Analysis I
Martin Osborne (Toronto) / Ariel Rubinstein (Tel Aviv), Bargaining and Markets
Jim Ratliff (prev. Arizona), Graduate-Level Course in Game Theory
Francesco Squintani (UCL), Notes for Non-Cooperative Game Theory
Max Stinchcombe (Texas), Dynamics and Learning
Max Stinchcombe (Texas), 
Notes for a Course in Game Theory 

International trade:
Pol Antras (Harvard), Advanced Topics in International Trade
Donald Davis (Columbia), Notes on Competitive Trade Theory
István Kónya (Boston College), Lecture Notes in International Trade
Edward Leamer (UCLA), Sources of International Comparative Advantage
James Markusen et al. 
(Colorado), International Trade: Theory and Evidence

Applied and computational micro / other topics in micro:
Daron Acemoglu (MIT), Lecture Notes in Graduate Labor Economics 
Ted Bergstrom
 (UC Santa Barbara), The Theory of Public Goods and Externalities 
Christopher Carroll (JHU), Solution Methods for Microeconomic Dynamic Stochastic Optimization Problems
Alan Duncan (Nottingham), Labour Economics I & II
Bryan Ellickson (UCLA), General Equilibrium and Finance
Ariel Rubinstein (Tel Aviv), Economics and Language
Ariel Rubinstein (Tel Aviv), Modelling Bounded Rationality
David Zilberman (Berkeley), 
Economics & Policy of Production, Technology and Risk in Agricultural & Natural Resources

Mathematics for economists:
Julio Dávila (Penn), Mathematics for Economic Theory
Arne Hallam (Iowa State), Quantitative Methods in Economic Analysis
John Hillas / Dmitriy Kvasov (Auckland), 
Foundations of Economic Analysis

Michael Manove (Boston U), Mathematics for Micro
Markus Möbius (Harvard), Mathematics for Economists
Efe Ok (NYU), Real Analysis & Probability Theory with Economic Applications

Martin Osborne
 (Toronto), Mathematical Methods for Economic Theory
Guoqiang Tian (Texas A&M), Mathematical Economics
Viatcheslav Vinogradov (Charles U),
 A Cook-Book of Mathematics

Optimization:
Steve Alpern (LSE), Optimization Theory
Stephen Boyd (Stanford) / Lieven Vandenberghe (UCLA), Convex Optimization
Michael Burger (UCLA), Infinite-Dimensional Optimization and Optimal Design
Jan van den Heuvel (LSE) / Graham Brightwell (LSE), 
Optimization Theory

Robert Vanderbei (Princeton), Linear Programming: Foundations and Extensions
Pravin Varaiya (Berkeley), Lecture Notes on Optimization 
Klaus Wälde (U Würzburg), Applied Intertemporal Optimization
Richard Woodward (Texas A&M), 
Dynamic Optimization

Linear algebra / calculus / differential equations:
Alan Bain (prev. Cambridge), Stochastic Calculus
Michael Berry (Tennessee) et al., 
Templates for the Solution of Linear Systems

George Cain (Georgia Tech) / James Herod (Georgia Tech), Multivariable Calculus
William Chen (Macquarie), First-Year Calculus
William Chen (Macquarie), Linear Algebra
Ian Craw (Aberdeen), Advanced Calculus and Analysis
Lawrence Evans (Berkeley), An Introduction to Stochastic Differential Equations
John Friedlander / Peter Rosenthal (Toronto), Calculus Lecture Notes
Jonathan Goodman (NYU), Stochastic Calculus
Jim Hefferon (St. Michael's College), Linear Algebra
Robert Kohn (NYU), Partial Differential Equations for Finance
Thomas Kurtz (Wisconsin), Lectures in Stochastic Analysis
Lee Lady (Hawaii), Topics in Calculus
Keith Matthews (Queensland), Elementary Linear Algebra 
Kaare Petersen / Michael Petersen (Technical U Denmark), The Matrix Cookbook
Dinakar Ramakrishnan (Caltech), Calculus, Number Theory & Vector Calculus
Klaus Schmitt (Utah), Nonlinear Analysis and Differential Equations
Ruslan Shapirov (Bashkir State U, Russia), Course of Linear Algebra and Multidimensional Geometry
Dan Sloughter (Furman), Difference to Differential Equations
Dan Sloughter (Furman), The Calculus of Functions of Several Variables
Gerald Teschl (Vienna), Ordinary Differential Equations and Dynamical Systems 
Sergei Treil (Brown), 
Linear Algebra Done Wrong 

Analysis / measure theory / topology:
Robert Anderson (Berkeley), Measure Theory
Douglas Arnold (Penn State), Complex Analysis
Douglas Arnold (Penn State), Functional Analysis
George Cain (Georgia Tech), Complex Analysis
William Chen (Macquarie), Fundamentals of Analysis
William Chen (Macquarie), Introduction to Complex Analysis
William Chen (Macquarie), Introduction to Lebesgue Integration
William Chen (Macquarie), Linear Functional Analysis
William Chen (Macquarie), Multivariable and Vector Analysis
Paul Garrett (Minnesota), Functional Analysis
Lee Larson (Louisville), Real Analysis Lecture Notes
Vitali Liskevich (Bristol), Measure Theory and Functional Analysis
Aisling McCluskey (York, Ca.) / Brian McMaster (York, Ca.), Topology Course Notes
Sidney Morris (Ballarat), Topology without Tears

Sylvia Serfaty
 (NYU), Functional Analysis Notes
Bert Wachsmuth (Seton Hall), Interactive Real Analysis 
Elias Zakon (Windsor), 
Mathematical Analysis I

Mathematical game theory and logic, other math:
Stefan Bilaniuk (Trent), A Problem Course in Mathematical Logic
William Chen (Macquarie), Discrete Mathematics
William Chen (Macquarie), Congruences, Polynomials, and Group Theory
George Collins, II (Case Western), Fundamental Numerical Methods and Data Analysis
Germund Dahlquist (prev. RIT Sweden) / Ake Bjork (Linkoping), 
Numerical Mathematics in Scientific Computation

Thomas Ferguson (UCLA), Game Theory
Steven Pav (UCSD), Numerical Methods Course Notes
Stephen Simpson (Penn State), Mathematical Logic
Steven Sugden (Bond U, Australia), Discrete Mathematics

Michal Walicki
 (Bergen), Introduction to Logic

Reference:
Alexandre Stevanov's Listing of Math Lecture Notes
Eric Weissenstein's Mathworld
Wikipedia

Various models:
Willem Buiter (Cambridge), Lectures on Really Useful Ad Hoc Macroeconomics
John Driscoll
 (Fed), Lecture Notes in Macroeconomics
Brian Krauth (Simon Fraser), 
Macroeconomic Theory

Roland Meeks (Oxford), Economic Growth
Gregor Smith (Queen's), Macroeconomics Lecture Notes
Paul Söderlind (St Gallen), Macro II
Stephen Williamson (WUSTL), 
Notes on Macroeconomic Theory 

Recursive (dynamic programming) treatments and dynamic methods:
Chris Edmond (NYU), Advanced Macroeconomic Techniques
Jeremy Greenwood (Rochester), Lecture Notes on Dynamic Competitive Analysis
Nezih Guner (Penn State), Advanced Macroeconomic Theory
Lars-Peter Hansen (Chicago) / Thomas Sargent (NYU), Recursive Models of Dynamic Linear Economies
Lars-Peter Hansen (Chicago) / Thomas Sargent (NYU), Robustness

John Hassler (Stockholm U), Math II (Dynamic Systems)
Christopher House (Michigan), Macroeconomics II
David Kendrick (Texas), Stochastic Control for Economic Models

Miles Kimball
 (Michigan), Advanced Mathematical Methods for Macroeconomics .doc
Ian King (Auckland), A Simple Introduction to Dynamic Programming in Macroeconomic Models
Paul Klein (Western Ontario), Solving the Growth Model by Linearizing the Euler Equations
Dirk Krüger (Frankfurt), Macroeconomic Theory
Dirk Krüger (Frankfurt), Quantitative Macroeconomics: An Introduction

Per Krusell
 (Princeton), Lecture Notes for Macroeconomics I
Lars Ljungqvist (SSE) / Thomas Sargent (NYU), Recursive Macroeconomic Theory
 
.ps
Rody Manuelli (Wisconsin), Notes on Discrete Time Economic Models: The Growth Model
Rody Manuelli (Wisconsin), Topics in Macroeconomics: An Introduction to Stochastic Calculus
Maurice Obstfeld (Berkeley), Dynamic Optimization in Continuous-Time Economic Models I & II
Nicola Pavoni (University College), Notes on Dynamic Methods in Macroeconomics
Shouyong Shi (Toronto), Macro Theory I
John Stachurski (Melbourne), Stochastic Economic Dynamics
Nancy Stokey (Chicago), Brownian Models in Economics
Stijn Van Nieuwenburg (NYU) / Pierre-Olivier Weill (NYU), Exercises in Recursive Macroeconomic Theory

Randall Wright
 (Penn), Macroeconomics

Asset pricing, financial economics and financial mathematics:
Christian Ewald (St Andrews), Discrete-Time Finance
Christian Ewald (St Andrews), 
Mathematical Finance: Introduction to Continuous-Time Financial Market Models

Robert Kohn (NYU), Continuous-Time Finance
Antonio Mele (LSE),
 Lecture Notes in Financial Economics

Steven Shreve (Carnegie Mellon), Stochastic Calculus and Finance
Tyler Shumway (Michigan), 
Introduction to Finance

Tyler Shumway (Michigan), Introduction to Continuous-Time Asset Pricing
Paul Söderlind (St. Gallen), Financial Theory I & II

A.W. van der Vaart (Vrije U), Financial Stochastics
A.W. van der Vaart
 (Vrije U), Martingales, Diffusions, and Financial Mathematics

Other macro and computational methods:
Miles Kimball (Michigan), Q-Theory and Real Business Cycle Analytics 
Miles Kimball (Michigan), Real Business Cycle Theory: A Semiparametric Approach
Dirk Krüger (Frankfurt), Dynamic Fiscal Policy
Dirk Krüger (Frankfurt), Consumption and Saving: Theory and Evidence
Eric Leeper (Indiana), Bundesbank Mini-Course on Monetary Economics
Stephanie Schmitt-Grohe (Duke) / Martin Uribe (Duke), International Macroeconomics
Shouyong Shi (Toronto), Topics in Monetary Theory
Paul Söderlind (St Gallen), Macroeconomic and Financial Forecasting 
Paul Söderlind (St Gallen), Empirical Macroeconomics
Paul Söderlind (St Gallen), Monetary Policy

Harald Uhlig (Humboldt U Berlin), A Toolkit for Analyzing Nonlinear Stochastic Models Easily
Martin Uribe
 (Duke), Lectures in Open Economy Macroeconomics

Probability and mathematical statistics:
Richard Bass (Connecticut), The Basics of Financial Mathematics
Graham Brightwell (LSE), Probability for Finance and Economics
Robert Gray (Stanford), Probability, Random Processes, and Ergodic Properties
Charles Grinstead (Swarthmore) / Laurie Snell (Dartmouth), Introduction to Probability
Rachel Fewster (Auckland), Statistical Theory
Arne Hallam (Iowa State), Econometrics I
Guido Imbens (UCLA), Probability and Statistics
Oliver Knill (Harvard), Probability
Daniel McFadden (Berkeley), Statistical Tools 
D.S.G. Pollock (Queen Mary College), Lectures in Mathematical Statistics
S.R.S. Varadhan (NYU), Probability Theory
S.R.S. Varadhan (NYU), Stochastic Processes

Ivan Wilde (King's College London),  Measure, Integration & Probability
Robert Wolpert
 (Duke), Probability and Measure Theory

Econometrics (general):
Herman Bierens (Penn State), Econometrics Lecture Notes
Erik Biorn (Oslo), 
Econometrics - Advanced

Michael Creel (Barcelona), Graduate Economics Lecture Notes
Bruce Hansen (Wisconsin), Econometrics
Daniel McFadden (Berkeley), Econometrics
Ariel Pakes (Harvard), Advanced Applied Econometrics
Ariel Pakes (Harvard) / Oliver Linton (LSE), Nonlinear Methods for Econometrics
D.S.G. Pollock (Queen Mary College), A Course of Econometrics
D.S.G. Pollock (Queen Mary College), Introductory Econometrics
D.S.G. Pollock (Queen Mary College), Topics in Econometric Theory
Paul Söderlind (St. Gallen), 
Lecture Notes for Econometrics


Macroeconometrics (time series) / financial econometrics:
John Cochrane (Chicago), Time Series for Macroeconomics and Finance
D.S.G. Pollock (Queen Mary College), The Methods of Time Series Analysis
Paul Söderlind (St. Gallen), Lecture Notes in Financial Econometrics
A.W. van der Vaart (Vrije U), 
Time Series

Microeconometrics and other econometrics: 
Alan Duncan (Nottingham), Cross-Sectional and Panel Data Econometrics
Stepan Jurajda (Charles U), Econometrics of Panel Data and Limited Dependent Variable Models
James LeSage (Toledo), Spatial Econometrics

Charles Manski
 (Northwestern) / Daniel McFadden (Berkeley), Structural Analysis of Discrete Data and Econometric Applications
Kenneth Train (Berkeley), Discrete Choice Methods with Simulation
Melvyn Weeks (Cambridge), 
Advanced Econometrics: Microeconometrics

Matlab:
Ian Cavers (UBC), An Introductory Guide to Matlab
Paul Fackler (North Carolina State), Matlab Primer
Edward Neuman (Southern Illinois University), Matlab Tutorials
Christian Roessler (Melbourne), Matlab Basics
Kermit Sigmon (Florida), Matlab Primer
Kermit Sigmon (Florida), Matlab Tutorial
Matlab Summary and Tutorial at Florida

Gauss:
Marc Nerlove (Maryland), Notes on GAUSS
Felix Ritchie (Trig Consulting), Guide to Programming in GAUSS
Mark Watson (
Princeton
), GAUSS Basics 
GAUSS 5.0 User Guide at Aptech

Stata:
Robert Yaffee (NYU), Getting Started with STATA for MS Windows: A Brief Introduction
STATA Tutorial
 at Princeton

Latex:
Peter Flynn (Silmaril Consultants), A Beginner's Introduction to Typesetting with LaTex

REFERENCE:

http://econphd.econwiki.com/notes.htm

PROGRAMMING IN R

http://www.r-project.org/

http://manuals.bioinformatics.ucr.edu/home/programming-in-r

http://adv-r.had.co.nz/

http://www.rstudio.com/resources/training/online-learning/

http://www.cyclismo.org/tutorial/R/

http://www.r-tutor.com/

http://cran.r-project.org/doc/manuals/r-release/R-intro.html

http://www.statmethods.net/

http://www.ats.ucla.edu/stat/r/

http://ww2.coastal.edu/kingw/statistics/R-tutorials/

http://rtutorialseries.blogspot.com.tr/2009/10/r-tutorial-series-introduction-to-r_11.html

http://shiny.rstudio.com/tutorial/

http://swirlstats.com/

http://www.clemson.edu/economics/faculty/wilson/R-tutorial/toc.html

http://www.rdatamining.com/

http://www.esru.strath.ac.uk/Programs/ESP-r_tut/intro.htm

http://astrostatistics.psu.edu/datasets/R/

http://www.burns-stat.com/documents/tutorials/

http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm

http://dss.princeton.edu/training/

http://ditraglia.com/Econ103Public/Rtutorials/Rtutorial1.html

http://www.harding.edu/fmccown/r/

http://watson.nci.nih.gov/~sdavis/tutorials/

http://www.ddiez.com/teac/r/

http://people.hss.caltech.edu/~foley/rtut/

http://personality-project.org/r/

http://zoonek2.free.fr/UNIX/48_R/02.html

http://www.gmw.rug.nl/~boomsma/R@UNIL.htm