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課程名稱 |
財務計量
Financial Econometrics |
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開課學期 |
107-1 |
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授課對象 |
管理學院 財務金融學系 |
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授課教師 |
王耀輝 |
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課號 |
Fin3026 |
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課程識別碼 |
703E33500 |
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班次 |
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學分 |
3.0 |
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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 |
星期二2,3,4(9:10~12:10) |
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上課地點 |
管二302 |
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備註 |
本課程以英語授課。先修科目：統計一上、計量導論。
總人數上限：50人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1071Fin3026_ |
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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 is to teach introductory econometrics to the 1st-year finance postgraduates.
The text that will be covered in this course is data- and problem-driven, giving students
the skills to estimate and interpret models, whilst having an intuitive grasp of the
underlying theoretical concepts. This course will cover important modern topics such as
time-series forecasting, volatility modeling, switching models and simulation methods. |
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課程目標 |
After completing the course students should:
Understand the important methods and models for the analysis of financial data,
Be able to plan and execute a project in empirical finance, and
Have the fundamental knowledge to learn more advanced econometric methods. |
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課程要求 |
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預期每週課後學習時數 |
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Office Hours |
另約時間 |
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指定閱讀 |
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參考書目 |
Textbook:
Introductory Econometrics for Finance 3/e by Chris Brooks, 2014, Cambridge University
Press. ISBN: 1107034663. (新月)
Reference:
Principles of Econometrics 4/e by R. Carter Hill, William E. Griffiths, and Guay C. Lim,
2012, Wiley & Sons. ISBN: 9780470873724. (雙葉)
Software: EViews |
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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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Week 1 |
9/11 |
Introduction to the course |
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Week 2 |
9/18 |
Introduction & Mathematical and Statistical Foundations |
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Week 3 |
9/25 |
A brief overview of the classical linear regression model
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Week 4 |
10/02 |
Further development and analysis of the classical linear regression model
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Week 5 |
10/09 |
Classical linear regression model assumptions and diagnostics
EViews turotial |
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Week 6 |
10/16 |
Classical linear regression model assumptions and diagnostics
EViews turotial |
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Week 7 |
10/23 |
Univariate time series modelling and forecasting
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Week 8 |
10/30 |
Univariate time series modelling and forecasting
Tutorial on exercises |
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Week 9 |
11/06 |
Mid-term Exam |
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Week 10 |
11/13 |
Univariate time series modelling and forecasting |
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Week 11 |
11/20 |
Multivariate Models |
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Week 12 |
11/27 |
Multivariate Models |
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Week 13 |
12/04 |
EViews tutorial |
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Week 14 |
12/11 |
Modelling long-run relationship in finance |
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Week 15 |
12/18 |
EViews tutorial |
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Week 16 |
12/25 |
Final Exam |
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Week 17 |
1/01 |
National Holiday |
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