6192 - 時間序列分析專題(二)

Special Topics in Time Series Analysis (II)

教育目標 Course Target

The purpose of this course is to provide students with a comprehensive understanding of nonlinear time series models, with a focus on financial time series data. The students will begin by reviewing the basic concepts of time series, such as linear models, unit roots, seasonality, and empirical specification strategies. They will then explore the typical features of financial time series and delve into regime-switching models for returns and volatility, including GARCH models. The main activities are lectures, discussions, and practical exercises utilizing R to apply theoretical concepts to real-world financial data.

The purpose of this course is to provide students with a comprehensive understanding of nonlinear time series models, with a focus on financial time series data. The students will begin by reviewing the basic concepts of time series, such as linear models, unit roots, seasonality, and empirical specification strategies. They will then explore the typical features of financial time series and delve into regime-switching models for returns and volatile, including GARCH models. The main activities are lessons, discussions, and practical exercises utilizing R to apply theoretical concepts to real-world financial data.

課程概述 Course Description

This course will explore nonlinear time series models designed to account for the empirical properties of financial time series. The primary focus will be on modeling nonlinear conditional heteroscedasticity as well as model comparison approaches. In addition, computer exercises will be offered using R after a few lectures.

This course will explore nonlinear time series models designed to account for the empirical properties of financial time series. The primary focus will be on modeling nonlinear conditional heteroscedasticity as well as model comparison approaches. In addition, computer exercises will be offered using R after a few lectures.

參考書目 Reference Books

Franses, P. H., & Dijk, D. van. (2000). Non-Linear Time Series Models in Empirical Finance. Cambridge University Press. https://doi.org/10.1017/CBO9780511754067

Franses, P. H., & Dijk, D. van. (2000). Non-Linear Time Series Models in Empirical Finance. Cambridge University Press. https://doi.org/10.1017/CBO9780511754067

評分方式 Grading

評分項目
Grading Method
配分比例
Percentage
說明
Description
Class attendance
Class attendance
50
Final report
Final report
50

授課大綱 Course Plan

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課程資訊 Course Information

基本資料 Basic Information

  • 課程代碼 Course Code: 6192
  • 學分 Credit: 3-0
  • 上課時間 Course Time:
    Wednesday/6,7,8[M428]
  • 授課教師 Teacher:
    林孟樺
  • 修課班級 Class:
    統計博6
選課狀態 Enrollment Status

目前選課人數 Current Enrollment: 1 人

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