Course Title: Special Topics in Financial Statistics
Instructor: Hwai-Chung Ho (何 淮 中)
Telephone: 2783-5611 #112
E-mail: hcho@stat.sinica.edu.tw
Class Hours: Friday 9:00~12:00 a.m.
Office Hours: By Appointment
Course Materials:
1.Textbook: “Modeling Financial Time Series” by Stephen J. Taylor
2. References: 1. “Analysis of Financial Time Series” by R. S. Tsay
2. “Cointegration and Long-Memory Models” by Hwai-Chung Ho
Course Objective: This course is designed for Ph.D. students
majoring in quantitative finance. Senior master students
familiar with the methodology in statistical inference,
especially in time series analysis are also encouraged to take
the course. The aim of this course is to equip students with
advanced knowledge both on theory and applications of
financial statistics with an emphasis on time series skills.

Grading Policy: Grades will be decided by the performance of
one exam given during the week of final exam.


Course Syllabus

Lecture # Date Topics

1 2005/ 9/23 Ch. 1 Introduction
(of S.J. Taylor’s book)



2 2005/9/30 Ch. 1 Introduction



3 2005/10/07 Ch. 2 Features of Financial
Returns



4 2005/10/14 Ch. 3 Modeling Price
Volatility




5 2005/10/21 Ch. 3 Modeling Price
Volatility




6 2005/10/28 Ch. 3 Modeling Price
Volatility



7 2005/11/04 Ch. 4 Forecasting Standard
Deviations



8 2005/11/11 Ch. 4 Forecasting Standard
Deviations



9 2005/11/18 Ch. 5 The Accuracy of
Autocorrelation Estimates



10 2005/11/25 Ch. 6 Testing the Random