Master course on multivariate time series econometrics.

Brief repetition of concepts of univariate time series analysis; stationary vector autoregressive (VAR) processes: basics, estimation, lag order selection, specification testing, forecasting; structural VAR models: various methods for identifying macroeconomic shocks; non-stationary/integrated processes: spurious correlation vs. cointegration, error correction models; multivariate GARCH models.

(Please note that some of the lectures were done live on Zoom. Therefore, some course topics are not covered by the video clips available here.)