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課程名稱 |
計量分析
Quantitative Analysis |
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開課學期 |
105-1 |
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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 |
王耀輝 |
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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 |
必修 |
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上課時間 |
星期三2,3,4(9:10~12:10) |
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上課地點 |
管一104 |
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備註 |
本課程中文授課,使用英文教科書。財金碩士優先選課，管院其他碩士次之。
限碩士班以上
總人數上限：80人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1051Fin7047_ |
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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 to teach introductory econometrics to the 1st-year finance postgraduates. The text that will be covered in this course is data- and problem-driven, giving students the skills to estimate and interpret models, whilst having an intuitive grasp of the underlying theoretical concepts. This course will cover important modern topics such as time-series forecasting, volatility modeling, switching models and simulation methods. |
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課程目標 |
After completing the course students should:
Understand the important methods and models for the analysis of financial data,
Be able to plan and execute a project in empirical finance, and
Have the fundamental knowledge to learn more advanced econometric methods.
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課程要求 |
Mid-term exam: 30%.
Final exam: 40%.
Project: 20%
Participation: 10% |
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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 |
Reference:
Principles of Econometrics 4/e by R. Carter Hill, William E. Griffiths, and Guay C. Lim, Wiley & Sons. ISBN: 9780470873724.
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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 |
9/14 |
Introduction |
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Week 2 |
9/21 |
Mathematical and statistical foundations |
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Week 3 |
9/28 |
School closed due to typhoon |
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Week 4 |
10/05 |
A brief overview of the classical linear regression model |
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Week 5 |
10/12 |
Further development and analysis of the classical linear regression model
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Week 6 |
10/19 |
Classical linear regression model assumptions and diagnostics
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Week 7 |
10/26 |
Classical linear regression model assumptions and diagnostics
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Week 8 |
11/02 |
Univariate time series modelling and forecasting
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Week 9 |
11/09 |
Mid-term |
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Week 10 |
11/16 |
Univariate time series modelling and forecasting |
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Week 11 |
11/23 |
Univariate time series modelling and forecasting
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Week 12 |
11/30 |
Multivariate models |
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Week 13 |
12/07 |
Modelling long-run relationship in finance |
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Week 14 |
12/14 |
Modelling long-run relationship in finance |
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Week 15 |
12/21 |
Introduction to Matlab |
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Week 16 |
12/28 |
Modelling volatility and correlation
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Week 17 |
1/04 |
Modelling volatility and correlation
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