課程名稱 |
應用財務計量經濟學 Applied Financial Econometrics |
開課學期 |
107-2 |
授課對象 |
社會科學院 經濟學研究所 |
授課教師 |
陳旭昇 |
課號 |
ECON5139 |
課程識別碼 |
323 U7320 |
班次 |
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學分 |
2.0 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期三3,4(10:20~12:10) |
上課地點 |
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備註 |
先修科目: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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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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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 finance. |
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 |
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 dierences 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 dierent than that in the original paper (and is that the reason for the dierent 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? |
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 |
評量方式 (僅供參考) |
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