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課程名稱 |
計量分析
Quantitative Analysis |
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開課學期 |
100-1 |
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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 |
723EM9000 |
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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 |
星期一2,3,4(9:10~12:10) |
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上課地點 |
管二202 |
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備註 |
本課程以英語授課。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/1001QA_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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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 |
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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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Week 1 |
9/12 |
Holiday |
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Week 2 |
9/19 |
Review of Probability and Statistics |
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Week 3 |
9/26 |
Single Linear Regression |
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Week 4 |
10/3 |
Multiple Linear Regression |
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Week 5 |
10/10 |
Holiday |
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Week 6 |
10/17 |
Nonlinear Regression Function |
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Week 7 |
10/24 |
Panel Data Regression |
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Week 8 |
10/31 |
Binary Regression |
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Week 9 |
11/7 |
Instrumental Variables |
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Week 10 |
11/14 |
Time-Series Analysis and Forecasting (I) |
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Week 11 |
11/21 |
Time-Series Analysis and Forecasting (II) |
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Week 12 |
11/28 |
Mean-Variance Analysis |
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Week 13 |
12/5 |
Mean-Variance Spanning and Intersection Tests |
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Week 14 |
12/12 |
Event Study: From Short-Run to Long-Run |
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Week 15 |
12/19 |
Event Study: Long-Run Methodology |
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Week 16 |
12/26 |
Group Project Presentation (I) |
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Week 17 |
1/2 |
Group Project Presentation (II) |
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Week 18 |
1/9 |
Final Exam |
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