The presentation in this post covers a number of important topics in forecasting, including:

- Stationary processes and random walks
- Unit roots and autocorrelation
- ARMA models
- Seasonality
- Model testing
- Forecasting
- Dickey-Fuller and Phillips-Perron tests for unit roots

Also included are a number of detailed worked examples, including:

- ARMA Modeling
- Box Jenkins methodology
- Modeling the US Wholesale Price Index
- Pesaran & Timmermann study of excess equity returns
- Purchasing Power Parity

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