財務時間序列分析
Financial Time Series Analysis
| 節 | 週一 |
|---|---|
2 09:00–09:50 | 財務時間序列分析 M102 3 節連堂 |
3 10:10–11:00 | |
4 11:10–12:00 |
* 根據陽明交大上課時間表所列
This course aims at training students to be equipped with fundamental knowledge on time series analysis with applications to financial data. This course will cover materials including ARMA models, GARCH models, and high-frequency data modeling. This course introduces and illustrates how to implement statistical analysis using R programming.
Statistics (I) and (II)
This courses trains students to analyze financial time series data using the freely available R software packages. In addition to examples in textbook, the student needs to implement an individual project using data retrieved in database (such as TEJ or WARDS) to illustrate how to formulate a problem and conduct suitable statistical analysis.
Participation 5%, Homework 15%, Midterm Exam 30%, Final Exam 30%, Project 20%
| 週次 | 主題 |
|---|---|
| 第 1 週 | Syllabus. Introduction to R. Ch 1: Financial data |
| 第 2 週 | Ch 1: Visualization of the data. |
| 第 3 週 | Ch 2. Stationary, ACF, whine noise and linear time series, PACF |
| 第 4 週 | Ch 2: AR models |
| 第 5 週 | Break. Double Ten Festival |
| 第 6 週 | Ch 2: MA models, ARMA models |
| 第 7 週 | Ch 2: Uni root tests and case studies |
| 第 8 週 | Midterm Exam |
| 第 9 週 | GARCH models |
| 第 10 週 | Other GARCH models |
| 第 11 週 | Proposal presentation |
| 第 12 週 | Applications |
| 第 13 週 | Exam 2 |
| 第 14 週 | Ch 7: Value-at-Risk and Expected Shortfall |
| 第 15 週 | Project Prensentation 1 |
| 第 16 週 | Project Presentation 2 |
| 第 17 週 | Break. New Year |
| 第 18 週 | Discussions |
Required: Tsay, R.S. (2013) An introduction to analysis of financial data with R. Wiley \& Sons, Hoboken, New Jersey. Reference: Time Series Analysis and Its Applications: With R Examples, 3rd ed., Robert Shumway and David Stoffer
- 地點
- M-415
- 時間
- Thursday morning or by appointment
- 聯絡方式
- venteng@gmail.com