本課程主要是針對在財務上所使用的計量方法做一廣泛及理論上的介紹,提供學生了解計量模型在財務資料上的使用,希望學生在學習的過程中能培養對金融數據資料的了解能力。This course mainly provides a broad and theoretical introduction to the measurement methods used in finance, providing students with an understanding of the use of measurement models in financial data. It is hoped that students can develop their ability to understand financial data during the learning process. .
本課程主要是針對在財務上所使用的計量方法做一廣泛及理論上的介紹,首先先介紹迴歸分析,在授課過程會針對OLS及GLS估計作一廣泛性的介紹。其中也包括異質變異數、自我相關。而其使用則以財金議題及其運用。除此之外在財金議題上則會針對其波動度作一介紹。會先從ARIMA 模型開始,再更進一步討論ARCH、GARCH模型。在實際的應用上則會以CAPM、共同基金、事件研究、認購權證市場作一分析。提供學生了解計量模型在財務資料上的使用,希望學生在學習的過程中能培養對金融數據資料的了解能力。
This course is mainly a broad and theoretical introduction to the measurement methods used in finance. It will first introduce regression analysis. During the teaching process, a comprehensive introduction to OLS and GLS estimation will be given. This also includes heterogeneous variation and self-correlation. Its use is based on financial issues and its application. In addition, on financial issues, an introduction will be given to its volatility. We will start with the ARIMA model and then discuss the ARCH and GARCH models further. In practical applications, CAPM, mutual funds, event research, and call warrant markets will be used for analysis. Provide students with an understanding of the use of econometric models in financial data, and hope that students can develop their ability to understand financial data during the learning process.
鍾惠民 吳壽山 周賓凰 范懷文(2006), 財金計量, 出版社: 雙葉書廊
鍾惠民、周賓凰、孫而音(2011),財務計量 Eviews 的運用, 新陸書局
Time Series applications to finance, Ngai Hang Chan (2002), Wiley
Zhong Huimin, Wu Shoushan, Zhou Binhuang, Fan Huaiwen (2006), Financial Measurement, Publisher: Shuangye Book Gallery
Zhong Huimin, Zhou Binhuang, Sun Eryin (2011), Application of Financial Measurement Eviews, Xinlu Book Company
Time Series applications to finance, Ngai Hang Chan (2002), Wiley
評分項目 Grading Method | 配分比例 Grading percentage | 說明 Description |
---|---|---|
期中考期中考 midterm exam |
30 | |
期末考期末考 final exam |
40 | |
平時出席及作業平時出席及作業 Regular attendance and homework |
30 |