Title: 財務統計專題

Instructor: Hwai-Chung Ho 何 淮 中
TEL: 27835611 #112 Email: hcho@stat.sinica.edu.tw

Text Book: Modeling Financial Time Series by Stephen J. Taylor, John Wiley, 1986.

References: 1. Analysis of Financial Time Series by Ruey S. Tsay, John Wiley, 2002.
2. Asset Price Dynamics, Volatility, and Prediction by Stephen J. Taylor, 2005, Princeton University Press, 2005.

Hours: Friday 9:10 am – 12:10 am

Examination: Oral presentation for final exam.

Course outlines:
*Introduction
*Basic models: ARMA(1,1) and linear processes
*Modeling and forecasting of volatility: Stochastic volatility and GARCH models
*Testing the random walk hypothesis
*Price trend models and trading strategy
*Supplementary topics: Long-memory time series, extreme value theory and value at risk.