同教學概述

Overview of the same teaching

The past decades we have seen an extraordinary growth in the use of quantitative methods in financial markets due to the higher needs for quality of financial risk management as well as developing financial products. Time series data sets are very commonly seen and used for analyzing in financial world. This course intends to provide pathway that one can broaden the skills and approaches of time series modeling to apply into conventional financial models and risk management issues where time series analysis arises. This course mainly consists of several parts: (1) Review of linear time series (2) Modern financial models (Equality return models, CAPM, Event-Study Analysis, Multifactor Pricing Models, portfolio selection) (3) Nonlinear time series (GARCH models, Threshold Models, Volatility models, Quantile time series (4) Factor Models. (5) Nonparametric Time Series. (6) Markov Switching Models.

The past decades we have seen an extraordinary growth in the use of quantitative methods in financial markets due to the higher needs for quality of financial risk management as well as developing financial products. Time series data sets are very commonly seen and used for analyzing in financial world. This course intends to provide pathway that one can broaden the skills and approaches of time series modeling to apply into conventional financial models and risk management issues where time series analysis arises. This course mainly consists of several parts: (1) Review of linear time series (2) Modern financial models (Equality return models, CAPM, Event-Study Analysis, Multifactor Pricing Models, portfolio selection) (3) Nonlinear time series (GARCH models, Threshold Models, Volatility models, Quantile time series (4) Factor Models. (5) Nonparametric Time Series. (6) Markov Switching Models.

Analysis of Financial Time Series (Wiley Series in Probability and Statistics) [Hardcover]
Ruey S. Tsay (Author)

Nonlinear Time Series: Nonparametric and Parametric Methods (Jianqing Fan, Qiwei Yao, 2003)

Analysis of Financial Time Series (Wiley Series in Probability and Statistics) [Hardcover]
Ruey S. Tsay (Author)

Nonlinear Time Series: Nonparametric and Parametric Methods (Jianqing Fan, Qiwei Yao, 2003)