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課程名稱 |
計量分析
QUANTITATIVE ANALYSIS |
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開課學期 |
99-1 |
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授課對象 |
管理學院 財務金融學研究所 |
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授課教師 |
何耕宇 |
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課號 |
Fin7047 |
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課程識別碼 |
723 M9000 |
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班次 |
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學分 |
3 |
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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 |
星期四6,7,8(13:20~16:20) |
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上課地點 |
管二103 |
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備註 |
本課程中文授課,使用英文教科書。本課程中文授課,使用英文教科書。主修財金組必選。
限本系所學生(含輔系、雙修生) 且 限碩士班以上
總人數上限：50人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/991QA_NTU_FIN |
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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 a graduate level course of quantitative analysis for non-economics major students. The purpose of the course is to equip students with fundamental knowledge on quantitative analysis and possible econometrics tools for master dissertation. The course is divided into two parts. The first part covers lectures on the required text book and may also include certain demonstrations based on Stata software. The second part introduces two major empirical topics in finance with journal article readings. There will also be a group project (8-10 groups, detailed later) based on Stata software (or any software of your own choice) and a final exam. |
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課程目標 |
The purpose of the course is to equip students with fundamental knowledge on quantitative analysis and possible econometrics tools for master dissertation. |
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課程要求 |
Group Project (40%, including 15% for presentation).
Final Exam (40%).
Class Discussion and Participation (20%). |
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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 |
Stock and Watson, 2007, Introduction to Econometrics, 2nd ed., Addison-Wesley.
Lecture Notes and Assigned Journal Articles.
Stata Software. |
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參考書目 |
Brooks, 2008, Introductory Econometrics for Finance, 2nd ed., Cambridge.
Wooldridge, 2006, Introductory Econometrics: A Modern Approach, 3rd ed., Thomson South-Western.
Campbell, Lo, and MacKinlay, 1997, The Econometrics of Financial Markets, Princeton University Press.
Huang and Lizenberger, 1988, Foundations for Financial Economics, Prentice-Hall.
Ingersoll, 1987, The Theory of Financial Decision Making, Rowman and Littlefield. |
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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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第1週 |
9/16 |
Introduction |
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第2週 |
9/23 |
Review of Probability and Statistics |
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第3週 |
9/30 |
Single Linear Regression |
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第4週 |
10/07 |
Multiple Linear Regression |
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第5週 |
10/14 |
Nonlinear Regression Function |
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第6週 |
10/21 |
Panel Data Regression |
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第7週 |
10/28 |
Binary Regression |
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第8週 |
11/04 |
Instrumental Variables |
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第9週 |
11/11 |
Time-Series Analysis and Forecasting (I) |
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第10週 |
11/18 |
Time-Series Analysis and Forecasting (II) |
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第11週 |
11/25 |
Additional Topics in Time-Series Regression |
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第12週 |
12/02 |
Mean-Variance Analysis |
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第13週 |
12/09 |
Mean-Variance Spanning and Intersection Tests |
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第14週 |
12/16 |
Event Study-From Short-Run to Long-Run |
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第15週 |
12/23 |
Event Study-Long-Run Methodology |
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第16週 |
12/30 |
Group Project Presentation (I) |
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第17週 |
1/06 |
Group Project Presentation (II) |
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第18週 |
1/13 |
Final Exam |
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