關於 財務金融計量
不知道班上除了我和冠亨有打算選修之外
還有沒有人有興趣的 因為這門課要在碩委會提 才可以成為方法類的課程
課程主要的內容是時間序列(time series) 要有計量經濟基礎
而時間是星期五的早上
下面是課程大綱 如果有打算選修的麻煩跟我說一下
因為如果是個案通過的話 沒有把名字送上去的人可能就不能當作方法類了
要在星期天之前跟我說喔!
授課大綱:
1. Financial time sereis and their characteristics
Asset returns
Distrubutional properties of asset returns
2. Linear time series analysis and their applications
Stationarity
Correlation and autocorrelation functions
White noise and lineat time series
Simple AR models
Simple MA models
Simple ARMA models
3. VAR
Granger causality
Impulse response function
Forecast error variance decomposition
4. Conditional heteroscedastic models
Characteristics of volatility
Structure of a model
THe ARCH model
The GARCH model
THe GARCH-M model
THe exponential GARCH model
5. GARCH models for bivariate returns
6. Unit root nonstationarity
Spurious regression
Cointegration
Estimation of cointegrating relationship
Structural change and unit root hypothesis
Structural change and cointegration
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◆ From: 140.119.202.234
※ 編輯: drewlin 來自: 140.119.202.234 (02/20 22:58)
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02/20 23:04, , 1F
02/20 23:04, 1F