課程資訊
課程名稱
時間序列分析
TIME SERIES ANALYSIS 
開課學期
97-1 
授課對象
社會科學院  經濟學系  
授課教師
林金龍 
課號
ECON5007 
課程識別碼
323 U0600 
班次
 
學分
全/半年
半年 
必/選修
選修 
上課時間
星期一6,7,8(13:20~16:20) 
上課地點
社法10 
備註
與劉榮木合開
限學士班三年級以上 或 限碩士班以上
總人數上限:50人 
Ceiba 課程網頁
http://ceiba.ntu.edu.tw/971TSA 
課程簡介影片
 
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核心能力與課程規劃關聯圖
課程大綱
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課程概述

This course focuses exclusively on Time Series Analysis (TSA)
designated for advanced undergraduate or graduate students majoring
in economics or finance. Cointegration and financial econometrics
are two main topics but with only one-semester, I need to make a
quick pass on the former one so that I can devote more time on the
second one.
The course starts with a lecture introducing stochastic process, time series
model and statistical package extit{R} and extit{SCA}. we then spend 3 lectures covering
conventional univariate time analysis, including identification, estimation, diagnostic checking
and forecasting of a time series model. Unit root and cointegration
econometrics makes the second part. The third and main part
comprises univariate ARCH/GARCH, multivariate GARCH models and
stochastic volatility models. A brief review of extreme value
analysis and ultra high frequency financial econometrics concludes
this course. 

課程目標
Similar to any other filed of economics and finance, intuition and
creative ideas constitute the flesh and bone of TSA. I am aiming at
equipping the students with proper tools for advanced empirical work
and lay the foundation for theoretical research in TSA. In
additional to econometric theory, I also emphasize computational
aspects of these complicated econometric techniques. extit{R} and
extit{SCA} are the main statistical packages used in this course.
Homework assignments using and/or SCA} will be
given but there is no programming question in the midterm exam. 
課程要求
Home work, Midterm, and term paper 
預期每週課後學習時數
 
Office Hours
每週一 17:20~17:50 
參考書目
Ruey S. Tsay, 2005, Analysis
of Financial Time Series
2nd edition, New York: John
Wiley

Lon-mu Liu 2006, Time Series
Analysis and Forecasting, 2nd,
Scientific Computing Associates 
指定閱讀
 
評量方式
(僅供參考)
 
No.
項目
百分比
說明
1. 
期中考 
30% 
 
2. 
期末考 
0% 
 
3. 
隨堂測驗 
0% 
 
4. 
作業 
30% 
 
5. 
報告 
40% 
 
 
課程進度
週次
日期
單元主題
第1週
9/15  Introduction to Stochastic Process, Time series, SCA and R 
第2週
09/22  ARIMA modelling (I) 
第3週
9/29  ARIMA modelling (II) 
第4週
10/06  Theory of Forecasting 
第5週
10/13  functional central limit theorem 
第6週
10/20  Intervention, Outlier and Time-Varying model 
第7週
10/27  unit root econometrics 
第8週
11/03  VAR and Impulse response analysis 
第9週
11/10  Cointegration and error correction model (I) 
第10週
11/17  Midterm Exam. 
第11週
11/24  Cointergation and error correction model (II) 
第12週
12/01  Univariate GARCH (I) 
第13週
12/08  Univariate GARCH (II) 
第14週
12/15  Multivariate GARCH (I) 
第15週
12/22  Multivariate GARCH (II) 
第16週
12/29  Ultra High frequency financial econometrics (I) 
第17週
1/05  Ultra High frequency financial econometrics (II)