99年第1學期-4940 財務時間序列分析:入門與應用 課程資訊

課程分享

選課分析

本課程名額為 70人,已有6人選讀,尚餘名額64人。

評分方式

評分項目 配分比例 說明
課堂參與 20
作業繳交 20
期末報告 60

授課教師

陳宜廷

教育目標

針對碩一碩二學生再對計量方面做一個實務應用的介紹。操作GARCH 模型基礎介紹,讓同學可以了解此模型的應用。尤其碩二學生,原本已有計量之基礎,再加上應用,可使觀念更為清楚。

課程概述

In this short course, we will give a tutorial about financial time series analysis. Specifically, this tutorial will begin with a brief review of statistics and econometrics. Then, we will classify different properties of time series data and discuss basic concepts of time series analysis. We will also use real data to show and explain certain stylized facts of financial return sequences. These stylized facts are used to motivate different financial time series models in different contexts. Given the specifications, we will also explain how to estimate and test the associated models based on the econometric methods introduced in this course. Some important references will be given after each lecture.

課程資訊

參考書目

Campbell, J. Y., Lo, A. W., and MacKinlay, A. C.

The Econometrics of Financial Markets,

Princeton University Press, 1997.

Engle, R., ARCH: Selecting Readings,

Oxford University Press, 1995.

Tsay, R., Analysis of Financial Time Series,

John Wiley, 2001.