課程資訊
課程名稱
 財務計量
Financial Econometrics 
開課學期
 106-2 
授課對象
 管理學院  財務金融學系  
授課教師
 王耀輝 
課號
 Fin3026 
課程識別碼
 703E33500 
班次
  
學分
 3.0 
全/半年
 半年 
必/選修
 必修 
上課時間
 星期二2,3,4(9:10~12:10) 
上課地點
 管二302 
備註
 本課程以英語授課。必選5選3。先修科目：統計學一上、下（或計量導論）。
總人數上限：50人 
Ceiba 課程網頁
 http://ceiba.ntu.edu.tw/1062Fin3026_ 
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課程概述


I. Stationary Time Series Models
1. Stationary ARMA Series
2. Identification and Estimation of ARMA Models
3. Hypothesis Testing and Diagnostic Tests
4. Forecasting
5. Application: Modeling Financial Time Series
II. Volatility Models
1. GARCH and Related Models
2. Estimation and Tests of GARCH Models
3. Application: Modeling Financial Volatility
III. Non-Stationary Time Series Models
1. Non-Stationary Time Series
2. Tests of Unit Root
3. Tests of Cointegration
4. Estimation of Cointegration Systems and Error Correction Models
5. Application: Modeling Co-Movement of Financial Time Series
 

課程目標
  
課程要求
  
預期每週課後學習時數
  
Office Hours
 另約時間 
指定閱讀
  
參考書目
  
評量方式
(僅供參考)
    
課程進度
週次
日期
單元主題
Week 1
 2/27  Introduction 
Week 2
 3/06  Introduction & Mathematical and Statistical Foundations
 
Week 3
 3/13  A brief overview of the
classical linear regression model
 
Week 4
 3/20  Further development and analysis of the classical linear regression model
 
Week 5
 3/27  EViews tutorial 
Week 6
 4/03  School Holiday 
Week 7
 4/10  Classical linear regression model assumptions and diagnostics 
Week 8
 4/17  Classical linear regression model assumptions and diagnostics 
Week 9
 4/24  Mid-term exam 
Week 10
 5/01  Univariate time series modelling and forecasting 
Week 11
 5/08  Univariate time series modelling and forecasting 
Week 12
 5/15  Multivariate Models
EViews tutorial 
Week 13
 5/22  Multivariate Models
Modelling long-run relationship in finance 
Week 14
 5/29  Modelling long-run relationship in finance 
Week 15
 6/05  Modeling volatility and correlation
EViews tutorial 
Week 16
 6/12  Modeling volatility and correlation  
Week 17
 6/19  Final exam