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課程名稱 |
應用財務計量經濟學
Applied Financial Econometrics |
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開課學期 |
105-2 |
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授課對象 |
社會科學院 經濟學系 |
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授課教師 |
陳旭昇 |
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課號 |
ECON5139 |
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課程識別碼 |
323 U7320 |
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班次 |
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學分 |
2.0 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期三3,4(10:20~12:10) |
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上課地點 |
社科研607 |
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備註 |
先修課程：統計學。
限學士班三年級以上 或 限碩士班以上
總人數上限：20人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1052ECON5139_ |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
This course introduces time series econometrics theory and application. The intention is that
the material will provide a foundation for empirical research in macroeconomics and nance. |
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課程目標 |
Course Outline
1. Introduction
2. Computing Asset Returns
3. Basic Time Series Modelling and Forecasting
4. Bootstrap
5. Application: Stock Return Predictability and Exchange Rate Predictability
6. Tutorial in Research Project Design
Choosing a Research Topic
Literature Search
Editing and Writing
7. Unit Root Econometrics
8. Application: Real Exchange Rates and Purchasing Power parity
9. Vector Autoregressions (VARs) and Structural VAR
10. Application: Modelling Monetary Policy
11. Application: Crude Oil Markets
12. Application: Oil Prices and Stock Prices |
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課程要求 |
Course Requirements
Homework Assignments: 30%
Midterm Exam: 30%
Presentation and Term Paper: 40%
Class assignments will include both problem solving and computer tasks. The term paper
should be an empirical paper. The paper can be: (1) an original empirical study or (2) a
study to reproduce the results of a main reference paper as well as extend the paper.
You will undoubtedly nd that it is impossible to reproduce the results of the paper
exactly. But if there are substantial di erences in the reported results and what you derive,
you should investigate why. Has the data been revised since the original publication (can
you get the original data)? Was your econometric method di erent than that in the original
paper (and is that the reason for the di erent outcome)?
An extension of the published result would involve tests of robustness of the main results
of the paper. Do they stand up when the sample is updated? Do the results apply to countries that were not in the sample of the original paper? If econometric tools have been improved
since the original paper, do the conclusions change if the newer tools are used? Were the
econometric methods of the original paper appropriate?
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
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參考書目 |
陳旭昇（2013)時間序列分析-總體經濟與財務金融之應用（第2版）
Chris Brooks (2014), Introductory Econometrics for Finance, Cambridge University
Press, 3rd edition
Walter Enders (2015), Applied Econometric Time Series, 4th edition
Ruey S. Tsay (2010), Analysis of Financial Time Series, 3rd edition |
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評量方式
(僅供參考) |
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週次 |
日期 |
單元主題 |
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第1週 |
2/22 |
(1) Syllabus
(2) Introduction |
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第2週 |
3/01 |
(1) Computing Asset Returns
(2) Basic Time Series Modelling |
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第4週 |
3/15 |
Time Series Regression and Forecasting |
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第5週 |
3/22 |
Problem Set 1 |
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第8週 |
4/12 |
Forecasting Evaluation |
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第9週 |
4/19 |
(1) A reference answer key to PS1
(2) Reference answer keys to the book "Applied Time Series Econometrics" |
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第10週 |
4/26 |
(1) Forecasting Evaluation
(2) Bootstarp |
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第12週 |
5/10 |
Research Guidance |
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第13週 |
5/17 |
(1) 期末報告大綱範本
(2) 期末報告範本
(3) Forecasting Exchange Rate Movements with
FX-sensitive Stocks by Jia-Dong Liu |
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第14週 |
5/24 |
Unit-Root Econometrics |
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第15週 |
5/31 |
Vector Autoregressive Models |
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第16週 |
6/07 |
(1) Structural VAR |