時間序列
Time Series
| 節 | 週三 |
|---|---|
5 13:20–14:10 | 時間序列 A406 3 節連堂 |
6 14:20–15:10 | |
7 15:30–16:20 |
* 根據陽明交大上課時間表所列
本課程以財務時間序列為核心內容,除時間序列之工具外,亦介紹對應的財務觀念。本課程為英文授課。
大學部統計學。迴歸分析、財務或程式等相關背景會有所助益但非必要。
無備註
依據教學進度,或會需要學生實際操作財務資料庫進行資料蒐集。
例行作業 50% 口頭報告 40% 課堂參與 10%
教師未提供此項資料
| 週次 | 主題 |
|---|---|
| 第 1 週 | Course Introduction Chap 1. Financial Time Series and Their Characteristics 2/20 |
| 第 2 週 | Chap 2. Linear Time Series Analysis and Its Applications 2/27 |
| 第 3 週 | Chap 2. Linear Time Series Analysis and Its Applications 3/6 |
| 第 4 週 | Chap 3. Conditional Heteroscedastic Models 3/13 |
| 第 5 週 | Chap 3. Conditional Heteroscedastic Models 3/20 |
| 第 6 週 | Chap 4. Nonlinear Models and Their Applications 3/27 |
| 第 7 週 | Chap 4. Nonlinear Models and Their Applications 4/3 |
| 第 8 週 | Chap 5. High-Frequency Data Analysis and Market Microstructure 4/10 |
| 第 9 週 | Midterm Week (No Class) 4/17 |
| 第 10 週 | Chap 6. Continuous-Time Models and Their Applications 4/24 |
| 第 11 週 | Chap 6. Continuous-Time Models and Their Applications 5/1 |
| 第 12 週 | Chap 7. Extreme Values, Quantile Estimation, and Value at Risk 5/8 |
| 第 13 週 | Chap 8. Multivariate Time Series Analysis and Its Applications 5/15 |
| 第 14 週 | Chap 9. Principal Component Analysis and Factor Models 5/22 |
| 第 15 週 | Chap 10. Multivariate Volatility Models and Their Applications 5/29 |
| 第 16 週 | Chap 11. State-Space Models and Kalman Filter 6/5 |
| 第 17 週 | Chap 12. Markov Chain Monte Carlo Methods with Applications 6/12 |
| 第 18 週 | Final Week (No Class) 6/19 |
Ruey S. Tsay (2002). Analysis of Financial Time Series, 2nd Edition. John Wiley & Sons, Inc., Hoboken, New Jersey.
- 地點
- A417
- 時間
- By appointment
- 聯絡方式
- 電子郵件: chulankao@gmail.com