101年第2學期-4848 財務時間序列 課程資訊

評分方式

評分項目	配分比例	說明
Attandence	20
Midterm Exam	30
Final Exam	30
Homework	20

教育目標

This course intends to provide pathway that one can broaden the skills and approaches of time series modeling to apply into conventional financial models and risk management issues where time series analysis arises. This course mainly consists of several parts: (1) Review of linear time series (2) Modern financial models (Equality return models, CAPM, Event-Study Analysis, Multifactor Pricing Models, portfolio selection) (3) Nonlinear time series (GARCH models, Threshold Models, Volatility models, Quantile time series (4) Factor Models. (5) Nonparametric Time Series. (6) Markov Switching Models. In this course, we will use R software to analyze data and program codes to learn financial time series models.

課程概述

The past decades we have seen an extraordinary growth in the use of quantitative methods in financial markets due to the higher needs for quality of financial risk management as well as developing financial products. Time series data sets are very commonly seen and used for analyzing in financial world. This course intends to provide pathway that one can broaden the skills and approaches of time series modeling to apply into conventional financial models and risk management issues where time series analysis arises. This course mainly consists of several parts: (1) Review of linear time series (2) Modern financial models (Equality return models, CAPM, Event-Study Analysis, Multifactor Pricing Models, portfolio selection) (3) Nonlinear time series (GARCH models, Threshold Models, Volatility models, Quantile time series (4) Factor Models. (5) Nonparametric Time Series. (6) Markov Switching Models.

基本資料

選修課，學分數：0-3
上課時間：四/4[M117] 一/3,4[M120]
修課班級：統計碩1,2
修課年級：年級以上
選課備註：

參考書目

1. The Econometrics of Financial Markets [Hardcover]
John Y. Campbell (Author), Andrew W. Lo (Author), A. Craig MacKinlay (Author), Andrew Y. Lo (Author)

2. Analysis of Financial Time Series [Hardcover]
Ruey S. Tsay (Author)

3. Introduction to Time Series and Forecasting [Hardcover]
Peter J. Brockwell (Author), Richard A. Davis (Author)