Ch. 1. Financial econometrics : scope and methods -- Ch. 2. Review of probability and statistics -- Ch. 3. Regression analysis : theory and estimation -- Ch. 4. Selected topics in regression analysis -- Ch. 5. Regression applications in finance -- Ch. 6. Modeling univariate time series -- Ch. 7. Approaches to ARIMA modeling and forecasting -- Ch. 8. Autoregressive conditional heteroskedastic models -- Ch. 9. Vector autoregressive models I -- Ch. 10. Vector autoregressive models II -- Ch. 11. Cointegration and state space models -- Ch. 12. Robust estimation -- Ch. 13. Principal components analysis and factor analysis -- Ch. 14. Heavy-tailed and stable distributions in financial econometrics -- Ch. 15. ARMA and ARCH models with infinite-variance innovations
