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課程名稱 |
計量分析
Quantitative Analysis |
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開課學期 |
101-1 |
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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 |
必修 |
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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 |
本課程中文授課,使用英文教科書。
限本系所學生(含輔系、雙修生) 且 限碩士班以上
總人數上限：70人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1011QA_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 |
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 |
1. Stock and Watson, 2012, Introduction to Econometrics, 3rd ed., Addison-Wesley.
2. Lecture Notes and Assigned Journal Articles.
3. 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 |
9/10 |
Introduction |
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第2週 |
9/17 |
Review of Probability and Statistics |
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第3週 |
9/24 |
Single Linear Regression |
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第4週 |
10/1 |
Multiple Linear Regression |
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第5週 |
10/8 |
Nonlinear Regression Function |
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第6週 |
10/15 |
FMA Annual Meeting |
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第7週 |
10/22 |
Panel Data Regression |
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第8週 |
10/29 |
Binary Regression |
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第9週 |
11/5 |
Instrumental Variables |
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第10週 |
11/12 |
Time-Series Analysis and Forecasting (I) |
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第11週 |
11/19 |
Time-Series Analysis and Forecasting (II) |
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第12週 |
11/26 |
Mean-Variance Analysis |
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第13週 |
12/3 |
Mean-Variance Spanning and Intersection Tests |
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第14週 |
12/10 |
Event Study: From Short-Run to Long-Run |
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第15週 |
12/17 |
Event Study: Long-Run Methodology |
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第16週 |
12/24 |
Group Project Presentation II |
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第17週 |
12/31 |
Adjustment Holiday (12/22 Group Project Presentation I) |
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第18週 |
1/7 |
Final Exam |
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