課程資訊
課程名稱
 財務應用實證
EMPIRICAL FINANCIAL ECONOMETRICS 
開課學期
 98-2 
授課對象
 管理學院  財務金融學研究所  
授課教師
 管中閔 
課號
 Fin8039 
課程識別碼
 723ED7100 
班次
  
學分
 3 
全/半年
 半年 
必/選修
 選修 
上課時間
 星期一6,7,8(13:20~16:20) 
上課地點
 管二204 
備註
 本課程以英語授課。
總人數上限：10人 
Ceiba 課程網頁
 http://ceiba.ntu.edu.tw/982efe 
課程簡介影片
 
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課程概述

1. Time Series Models
Univariate stationary time series models
Multivariate stationary time series models
Unit-root nonstationarity and co-integration
Volatility models
Markov switching models
Realized volatility
2. Bootstrap and Tests of inequality constraints
3. Quantile regression and quantile treatment effects 

課程目標
 This course is to prepare students with econometric methods that are readily applied in finance and economics research. The prerequisite is one year graduate econometrics training (such as two core courses at Ph.D. or Master level) or equivalent. There are two parts of this course. In the first part, I will discuss various issues in modeling, estimation, and testing for
univariate and multivariate time series. In particular, both models for conditional mean and conditional variance will be studied. In the second part I will introduce some econometrics methods, including bootstrapping and quantile regression, that are applicable to both time series and cross section data. Instead of providing “recipes” for these methods, I will try to make it clear why these methods work and present related empirical applications.

All lectures will be given in English. There will be homework problems, including computation exercises. Students are expected to learn at least one programming language (R, Gauss, or matlab). A short term paper and presentation at the end of this semester are also required for those who take this course. Auditors are welcome only if they also do the required homeworks and actively participate classroom discussion. 
課程要求
  
預期每週課後學習時數
  
Office Hours
 備註： Wednesday 3–5 or by appointment. 
指定閱讀
 Reading
1. Hamilton, J., Time Series Analysis, Princeton, NJ: Princeton University Press, 1994.
2. Kim, C.-J. and C. R. Nelson, State-Space Models with Regime Switching, Cambridge,
MA: MIT Press, 1999.
3. Koenker, R., Quantile Regression, New York, NY: Cambridge University Press, 2005.
4. Lecture notes, available at ceiba.ntu.edu.tw/982efe or
homepage.ntu.edu.tw/ckuan; please constantly check for new versions.
5. Tsay, R. S., Analysis of Financial Time Series, 2nd ed., New York, NY: Wiley, 2005. 
參考書目
 Supplemental Reading
1. Campbell, J. Y., A. W. Lo and A. C. MacKinlay, The Econometrics of Financial
Market, Princeton, NJ: Princeton University Press, 1997.
2. L‥utkepohl, H., Introduction to Multiple Time Series Analysis, 2nd edition, Berlin:
Springer-Verlag, 1993.
3. Taylor, S. J., Asset Price Dynamics, Volatility, and Prediction, Princeton, NJ: Princeton
University Press, 2005 
評量方式
(僅供參考)
  
No.
項目
百分比
說明
1. 
 homework assignments 
25% 
  
2. 
 term paper 
50% 
 The term paper may be a short review of some econometric methods or an empirical study of finance or economic variables. The term paper may be done jointly by no more than 2 students. If there are two co-authors, both must do the presentation together. The guidelines for the term paper and presentation will be distributed shortly. 
3. 
 paper presentation 
25% 
  
 
課程進度
週次
日期
單元主題
第1週
 2/22  1. Lecture on Basic Time Series Models
2. Lecture on Diagnostic Tests (Update: 2010/3/12) 
第4週
 3/15  1. Time Series Diagnostic Tests (Update: 2010/4/8);
2. Slides: Introduction to Time Series Analysis (2010/3/29 Update) 
第5週
 3/22  Slides: Introduction to Time Series Analysis (2010/3/22 Update) 
第6週
 3/29  Slides: Introduction to Time Series Analysis (2010/3/29 Update) 
第7週
 4/05  Slides: Introduction to Time Series Analysis (2010/4/8 Update) 
第11週
 5/03  Slides: Introduction to Time Series Analysis (2010/5/3 14:16 Update); Note: 更新至 Section 8.3 & Co-Integration has been revised 
第12週
 5/10  Slides: Introduction to Time Series Analysis (2010/5/10 11:40 Update)
；
Slide: The Markov Switching Model (2010/5/10) 
第13週
 5/17  Slides: Introduction to Time Series Analysis (2010/5/25 19:00 Update)
Lecture: Lecture on the Markov Switching Model (2010/5/17 12:15 Update) 
第14週
 5/24  Introduction to Quantile Regression (2010/05/24 12:15); Slides: Introduction to Time Series Analysis (2010/5/25 19:00 Update)