不知道班上除了我和冠亨有打算选修之外 还有没有人有兴趣的 因为这门课要在硕委会提 才可以成为方法类的课程 课程主要的内容是时间序列(time series) 要有计量经济基础 而时间是星期五的早上 下面是课程大纲 如果有打算选修的麻烦跟我说一下 因为如果是个案通过的话 没有把名字送上去的人可能就不能当作方法类了 要在星期天之前跟我说喔! 授课大纲: 1. Financial time sereis and their characteristics Asset returns Distrubutional properties of asset returns 2. Linear time series analysis and their applications Stationarity Correlation and autocorrelation functions White noise and lineat time series Simple AR models Simple MA models Simple ARMA models 3. VAR Granger causality Impulse response function Forecast error variance decomposition 4. Conditional heteroscedastic models Characteristics of volatility Structure of a model THe ARCH model The GARCH model THe GARCH-M model THe exponential GARCH model 5. GARCH models for bivariate returns 6. Unit root nonstationarity Spurious regression Cointegration Estimation of cointegrating relationship Structural change and unit root hypothesis Structural change and cointegration --

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