基本素養 Basic Literacy

人文素養
Spirit of Humanism
公民素養
Civil literacy
社會關懷
Social concern
經世濟民
Benefit people and the society
國際視野
International Perspective

核心能力 Competence

具備系定專業知識
Professional knowledge in economics
具備跨領域應用能力
Cultivate students to have ability of interdisciplinary application
具有批判及推理之能力
Abilities of Critique and Reasoning
具有建構經濟模型及分析之能力
Abilities to Construct Economic Models and Analysis
具有研讀及撰寫專業論文之能力
Abilities to Read and Write Professional Thesis
具備團體合作協調能力
Abilities of Cooperationa and Coordination
具備創新思維及分析經濟相關議題之能力
Innovative and the Ability to Analyze Economy-Related Issues

課程概述 Course Description

本課程是研一計量經濟學的延伸,開設於二年級上學期,其課程著重於計量理論及方法的應用,特別是在財務計量領域,預計授課的主題包括 (1) Asset return predictability: Tests for random walk behavior, tests for mean reversion, tests for long-range dependence, Long horizon predictability, present value relations and long-horizon regression, irrational exuberance; (2) Volatility modeling: Univariate ARCH and GARCH models, long memory GARCH, multivariate GARCH; (3) Extreme value theory: The distribution of block maxima and minima, distribution of peaks-over-thresholds, Value-at-Risk, expected shortfall, copulas; (4) Market microstructure and high frequency financial data: Effects of nonsychronous trading, modeling bid and ask prices, modeling transactions data; (5) Factor models for asset returns: Theory-based linear factor models (CAPM, APT etc), statistical factor model based on principal components, tests of asset pricing theories.
This course covers some of the most important concepts, models and methods used in the empirical analysis of macroeconomic problems. The prerequisite for this course is that you have taken econometrics at the introductory level and have solid foundation in probability theory and statistics. Topics to be covered in the course include univariate time series models, cointegrated processes, stationary and non-stationary series, unit roots, spurious regression, vector autoregressive (VAR), vector error correction models (VECM), and other non-linear models.

課程學習目標 Course Objectives

  • Master the theories and tools for time series econometric modelling.
  • Conduct independent analyses of time series data.
  • Forecast time series data over different time horizons with apprpriate methods.
  • 課程進度 Course Outline

    週次 Week進度說明 Progress Description
    1A Brief Overview of the Classical Linear Regression Model
    2A Brief Overview of the Classical Linear Regression Model
    3Univariate Time Series Modelling and Forecasting
    4Univariate Time Series Modelling and Forecasting
    5Univariate Time Series Modelling and Forecasting
    6Univariate Time Series Modelling and Forecasting
    7Univariate Time Series Modelling and Forecasting
    8Univariate Time Series Modelling and Forecasting
    9Multiple Time Series Analysis
    10Multiple Time Series Analysis
    11Multiple Time Series Analysis
    12Multiple Time Series Analysis
    13Multiple Time Series Analysis
    14Empirical Research in Macroeconomic Analysis
    15Empirical Research in Macroeconomic Analysis
    16Empirical Research in Macroeconomic Analysis
    17Empirical Research in Macroeconomic Analysis
    18Final Exam
     以上每週進度教師可依上課情況做適度調整。The schedule may be subject to change.

    有關課程其他調查 Other Surveys of Courses

    1.本課程是否規劃業界教師參與教學或演講? 否
    Is there any industry specialist invited in this course? How many times? No
    2.本課程是否規劃內含校外實習 (並非參訪)? 否
    Is there any in (out of) school practicum involved in this course? How many hours? No