课程名称：金融计量学

课程编号：

课程英文名称： Financial Econometrics

实验总学时：36 课时

实验周学时： 课时

开设实验项目数：

主要软件：EWives6.0

实验课学分：2

本大纲主撰写人：张成思

本大纲审定人：

本大纲适用对象：金融专业学生

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实验教学目标与基本要求：

The aims of this course are to:

(i) provide students with sufficient background to enable them to read most of the recent applied literature in academic journals which employs financial time series methods;

 (ii) provide students with sufficient knowledge to conduct applied work and model financial time series independently

(iii) encourage students to analyze China financial time series

(iv) prepare students for future research in time series analysis of finance and economics.

 

实验课程内容与学时分配（列表形式）：

 

(i)            derive the properties of stationary and nonstationary time series;

(ii)        apply AR models to analyze financial time series data

(iii)    understand MA, ARMA, and ARIMA models

(iv)        understand and carry out unit root tests;

(v)            appreciate the role of VAR models for both stationary and nonstationary time series processes;

(vi)        critically read applied studies which use the Engle-Granger and Johansen co-integration methodologies;

(vii)    understand and apply (G)ARCH models for dynamic heteroskedastic time series;

(viii) understand nonlinear time series models

(ix)        familiar with high frequency data analysis in finance

use an econometric software package to apply the above methods to analyze financial time series data

 

教学方式与考核要求：

 

教学方式：

考核要求：课程成绩：

 

 

实验教科书、参考书：

教科书：

《金融计量学》 ， 张成思（著）， 东北财经大学大学出版社2008年出版。

参考书目：

《初级计量经济学—EViews的应用》，张成思（译注），东北财经大学大学出版社2006年出版（学习金融计量软件EViews的入门教材，英—中双语对照）。

 

实验指导讲义：