财务时间数列分析 .doc

財務時間數列分析 課程綱要 一、【開課系所】：國際企業研究所碩士班 二、【開課年級】：二年級 三、【修別】：選修 四、【科目名稱】：（中文）：財務時間數列分析 （英文）：Financial Time-series Analysis 五、【先修科目】： 六、【學分數】：一學期2學分 七、【授課時數】：（正課）2小時 八、【教學目的】：本科目旨在講授時間序列的原理與問題，使學生具備基本概念，進而運用所學分析當前經濟與金融議題。教學內容包括敘述性統計、迴歸結果分析、線性與非線性單根檢定方法、單變數與多變數定態與非定態時間序列模型、蒙地卡羅模擬方法、時間趨勢因素、季節因素、波動因素等模型以及 結構化 向量自我迴歸模型、光譜分析法、整數與分數共整合檢定與誤差修正模型等相關議題。 九、【內容綱要】： 參考Financial Time Series II 的網址 1. Introduction 2. Univariate linear stochastic models: Autocorrelation, ACF, and PACF 3. AR,MA,ARMA processes 4. Box Jenkins ARIMA modeling Forecasting and model building 5. Stationary vs. non-stationary processes Unit root tests: DF, ADF, PP, KPSS tests Nonlinear unit root tests 6. ARFIMA processes 7. Univariate non-linear stochastic models: Random walk hypothesis 8. Univariate non-linear stochastic models: Stochastic variance models, ARCH processes and other non-linear models 9. 期中考 10. Tail shapes and method of estimation Model central part of return distributions 11. GARCH, TGARCH, EGARCH, GJR-GARCH, 12. IGARCH, FIGARCH models 13. Multivariate nonstationary time series models 14. VAR models and structural VAR models 15. Spectral Analysis 16. Co-Integration and Error Correction Models 17. Fractional Co-Integration and Error Correction Models 18期末考 十、【參考書目】： 1. Wei,W.W.S., 2006 , Time Series Analysis, Addison-Wesley. 2. Tsay, R.S., 2005 , Analysis of Financial Time Series, Wiley. 3. Chan, N.H., 2003 , Time Series：Applications to Finance, Wiley. 4. Enders, W., 2004 , Applied Econometric Time Series, Wiley. 5. Chatfield, 1996 , The Analysis of Time Series: An Introduction, 5th ed., Chapman Hal. K? 6. Diebold, F. 2004 , Elements of Forecasting, 3rd ed., South-Western. K? 7. Engle, R. F., 1995 , ARCH: Selected Readings, Oxford University Press. 8. Granger and Newbold, 1986 , Forecasting Economic Time Series, 2nd ed., Academic Press. 9. Hamilton, 1994 , J., Time Series Analysis, Princeton University Press,. ?s 10. Tsay, R., 2002 , Analysis of Financial Time Series, W