財務計量(博士班)
Financial Econometrics
| 節 | 週四 |
|---|---|
6 14:20–15:10 | 財務計量(博士班) TD 3 節連堂 |
7 15:30–16:20 | |
8 16:30–17:20 |
* 根據陽明交大上課時間表所列
This is a course about econometric methods used in analyzing financial time series data. The main subjects include ARIMA, ARCH/GARCH, and the unit root/cointegration models. These methods are the modern techniques used in forecasting, asset pricing, risk management, and dynamic models of financial instruments. A balance will be maintained between the theoretical analysis and real applications. Although the empirical examples are mostly finance related, these methods can also be applied to other areas of management where time series data are used.
計量經濟學或統計學
The course will be conducted by combinations of lectures by me and paper presentations by the students. Each student is required to present a (or some) paper(s) chosen from the enclosed reading list. However, all students are expected to read the materials before the class and participate in the discussions during the class. The grade will be determined by the presentation and homework (20%), a term paper of an empirical project (30%), and a midterm exam (50%). The details of the term project will be announced. Demonstrations on using various models will be given using Eviews and/or RATS. Both the term project and homework assignments will also require the usage of some computer packages.
- Methods in Financial Econometrics
- Term papers
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction, Ch. 1&2 |
| 第 2 週 | Classical linear regression model, a brief review, Ch. 3 |
| 第 3 週 | CLRM, Continued, Ch. 3 |
| 第 4 週 | Further issues of CLRM, CH. 4 |
| 第 5 週 | ARIMA models, Ch. 5 |
| 第 6 週 | ARIMA, continued, Ch. 5 |
| 第 7 週 | Holiday |
| 第 8 週 | Multivariate models and VAR, Ch. 6 |
| 第 9 週 | Volatility modeling, Ch. 8 |
| 第 10 週 | ARCH and GARCH models, Ch. 8 |
| 第 11 週 | Multivariate volatility models, Ch. 8 |
| 第 12 週 | CARR, DCC and other volatility models, Ch. 8 |
| 第 13 週 | Midterm exam |
| 第 14 週 | Unit roots and spurious regression, Ch. 7 |
| 第 15 週 | Cointegration and long-run relationships, Ch. 7 |
| 第 16 週 | Switching models, Ch. 9 |
| 第 17 週 | Term project presentations |
| 第 18 週 | Term project presentations |
Chris Brooks (2002), “Introductory Econometrics for Finance,” by Cambridge University Press (required) Tsay, Ruey (2002), “Analysis of Financial Time Series,” by Wiley series
- 地點
- Room C09 4th Floor
- 時間
- Wednesday 2-4 PM
- 聯絡方式
- rchou@econ.sinica.edu.tw 02-27822791 ext 321