時間序列
Time Series
學期
106-2
學分
3
學分
當期課號
5435
永久課號
IST5519
開課單位
統計學研究所
授課教師
高竹嵐
類別
選修
上課時間表
| 節 | 週四 |
|---|---|
2 09:00–09:50 | 時間序列 A406 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
概述
本課程以財務時間序列為核心內容,除時間序列之工具外,亦介紹對應的財務觀念。本課程為英文授課。
先修科目
大學部統計學。迴歸分析、財務或程式等相關背景會有所助益但非必要。
教學方式
依據教學進度,或會需要學生實際操作財務資料庫進行資料蒐集。
評分方式
例行作業 50% 口頭報告 40% 課堂參與 10%
週次計畫
| 週次 | 主題 |
|---|---|
| 第 1 週 | Course Introduction Chap 1. Financial Time Series and Their Characteristics |
| 第 2 週 | Chap 2. Linear Time Series Analysis and Its Applications |
| 第 3 週 | Chap 2. Linear Time Series Analysis and Its Applications |
| 第 4 週 | Chap 3. Conditional Heteroscedastic Models |
| 第 5 週 | Chap 3. Conditional Heteroscedastic Models |
| 第 6 週 | Chap 4. Nonlinear Models and Their Applications |
| 第 7 週 | 清明連假 |
| 第 8 週 | Chap 4. Nonlinear Models and Their Applications |
| 第 9 週 | Chap 5. High-Frequency Data Analysis and Market Microstructure |
| 第 10 週 | Chap 6. Continuous-Time Models and Their Applications |
| 第 11 週 | Chap 6. Continuous-Time Models and Their Applications |
| 第 12 週 | Chap 7. Extreme Values, Quantile Estimation, and Value at Risk |
| 第 13 週 | Chap 8. Multivariate Time Series Analysis and Its Applications |
| 第 14 週 | Chap 9. Principal Component Analysis and Factor Models |
| 第 15 週 | Chap 10. Multivariate Volatility Models and Their Applications |
| 第 16 週 | Chap 11. State-Space Models and Kalman Filter |
| 第 17 週 | Chap 12. Markov Chain Monte Carlo Methods with Applications |
教科書
Ruey S. Tsay (2002). Analysis of Financial Time Series, 2nd Edition. John Wiley & Sons, Inc., Hoboken, New Jersey.
Office Hours
- 地點
- A417
- 時間
- By appointment
- 聯絡方式
- 電子郵件: chulankao@gmail.com