101年第1學期-4939 財務時間序列分析入門 課程資訊

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	100

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 fifteen-hour course, we will give a brief introduction about financial time series analysis. The discussions will be beginning with a review of mathematical statistics and introductory econometrics. Then, we will introduce some basic concepts of time series analysis, and use real data to show certain stylized facts of financial return sequences. These stylized facts are important for motivating financial time series models in different contexts. We will also explain how to estimate and test these models using the econometric methods introduced in this short course.

基本資料

選修課，學分數：1-0
上課時間：一/2[SS422]
修課班級：經濟碩1,2
修課年級：年級以上
選課備註：暑假上課

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.