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 |
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學分 |
3 |
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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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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 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 |
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Office Hours |
每週一 17:20~17:50 |
指定閱讀 |
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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 |
評量方式 (僅供參考) |
No. |
項目 |
百分比 |
說明 |
1. |
期中考 |
30% |
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2. |
期末考 |
0% |
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3. |
隨堂測驗 |
0% |
|
4. |
作業 |
30% |
|
5. |
報告 |
40% |
|
|
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) |
|