QF 5243-0

Brief

This course introduces topics from research in financial time series econometrics. For each topic, econometric methods are discussed and illustrated by empirical applications. After completion of the course the student will have obtained a fundamental knowledge of continuous-time modeling as applied in research within asset pricing theory. For each topic treated this will include: The ability to analyze the financial econometric models such that their properties are well-understood from a methodological point of view. This will include theory for estimation and testing, dynamic properties and li<x>nkage with applied literature.

Description

Course keywords: financial time series, econometrics, continuous-time modeling, financial econometric models, estimation and testing Financial Time Series Analysis II 成績考核 每個星期要交四份報告並且選讀 4 份期刊文章 (30%) 期中考 (30%) 期未考 (30%) 平時報告 (10%) Course This course introduces topics from research in financial time series econometrics. For each topic, econometric methods are discussed and illustrated by empirical applications. After completion of the course the student will have obtained a fundamental knowledge of continuous-time modeling as applied in research within asset pricing theory. For each topic treated this will include: The ability to analyze the financial econometric models such that their properties are well-understood from a methodological point of view. This will include theory for estimation and testing, dynamic properties and linkage with applied literature. General objectives The general objectives for the course are: 1. be able to complete a major report that applies financial time series techniques in analyzing a financial problem. Instruction objectives The instruction objectives are placed on a combination of the mathematical development of continuous-time models and their application to financial data. At the end of the course, students should: 1. be able to analyze financial data statistically; 2. be able to estimate equations and test assumptions of the stochastic differential equations; 3. be able to manipulate features of the computer package. Course Outline 1. Stochastic Processes and Stochastic Differential Equations 2. Numerical Methods for SDE 3. Parametric Estimation 6. Other Topics Office Hours Thursday morning or by appointment. Textbook The required readings in this course are: 1. Kerry Back, (2005), A Course in Derivative Securities: Introduction to Theory and Computation, Springer.

Timetable

Scores

Average GPA 4.3

Std. Deviation 0

Remarks

本課程為16週課程，修過研究所財務計量以及財務時間序列分析一

Restrictions

限計財系碩士班博士班

Compulsory

Elective

Cross Discipline

First Specialization

Second Specialization