《金融计量学3》课程教学大纲.docx

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1、金融计量学3课程教学大纲1. Course InformationCourse Name:Course Code:Course Credit:Weekly Teaching Hour:Total Teaching Hour:：Financial EconometricsFEG4034512. Instructor, lecture room, and etc.(4) Lecture Time： every Thursday 1:00-3:35 pm(5) Principles: 1. The students should not absent from the lectures withou

2、texceptional cases.2. Each assignment should be submitted timely before the deadline.3. Reading Materials(1) Text Books：1. An Introduction to Analysis of Financial Data with R, Ruey S. Tsay, Wiley, 2012. (RT2012)2. 金融数据分析导论：基于R语言，蔡瑞胸(作者)，李洪成，尚秀芬，郝 瑞丽(译者)，机械工业出版社，2013年.3. Multivariate Time Series Ana

3、lysis: with R and Financial Applications, Tsay, Ruey S., Wiley, 2013. (RT2013)(2) Reference Books1. Introductory Econometrics for Finance, Chris Brooks, Cambridge University Press, 2014. (CB2014)2. The R Book, Michael J. Crawley, Wiley, 2012. (MC2012)3. Time Series Analysis, James D. Hamilton, Princ

4、eton, 1994. (JH994)4. The 日ements of Financial Econometrics, Jianqing Fan & Qiwei Yao, Science Press, 2015. (FY2015)5. Statistics and Data Analysis for Financial Engineering, 2nd, David Ruppert & David S. Matteson, Springer, 2015. (RM015)(3) More Reference Books1 .精通R语言一用于量化金融(影印版)，东南大学出版社，2016年.2 .

5、金融计量学：时间序列分析视角(第二版)，张成思，中国人民大学出版 社，2016年.4. Course Content(1)指导思想以习近平新时代中国特色社会主义思想为理论根据，以扎根中国大地为基础, 以中国实践为依托，围绕马克思主义中国化最新理论成果，以政治认同、国家意 识、文化自信、公民人格为重点内容，融合最新全国教育工作会议精神，整体规 划课程思政教育教学内容。结合专业教育，把思想政治工作贯穿教育教学全过程， 实现知识传授、能力培养与价值引领的有机统一，挖掘培养学生理想信念、价值 取向、政治信仰、社会责任的元素、题材与内容，全面提高学生缘事析理、明辨 是非的能力。讲好习近平中国特色社会主义

6、经济思想管理思想，深挖中国经济社 会开展和管理实践中的优秀做法和典型案例，不断增强学生四个自信，教育引 导学生正确认识世界和中国开展大势、中国特色和国际比拟、时代责任和历史使 命以及远大抱负和脚踏实地。遵循思想政治教育学科规律，坚持教书和育人相结 合、历史与现实相结合、显性教育与隐性教育相结合、共性与个性相结合、正面 教育与纪律约束相结合。充分发挥思想政治理论课主渠道作用，深入挖掘课程各 教学环节思政元素及育人功能，把思想政治工作贯穿教育教学全过程，着力培养 有社会责任感、创新精神、国际视野的能担当民族复兴大任的新时代金融人才。(2) Learning Objectives1. Develop

7、 social responsibilities, and apply the knowledge acquired in this course to better serve the country and the society.2. Introduce theories and applications of econometrics in the context of finance.3. Understand the main techniques and methods that have been widely used in financial data analysis.4

8、. Know how to estimate financial econometrics models and evaluate their advantages and disadvantages.5. Use R to analyze financial data and conduct empirical study. Be able to interpret and analyze empirical results.6. Apply financial econometrics models to solve real-world financial problems, such

9、as forecasting volatility, calculating VaR, and etc.7. Be able to read and understand the articles about empirical finance at national and international financial journals.8. Through communications between the lecturer and the students and the collaboration among the students, develop team-work spir

10、it and rigorous attitude of study.(3) Lecture ContentTopicSub-SectionTeaching Hours1Introduction1. Introduction to Financial Econometrics32. Introduction to R2Basic Econometrics1. Classical Linear Regression Model32. OLS Regression3. Hypothesis Testing4. Maximum Likelihood Estimation3Asset Returns a

11、nd Stylized Facts of Financial Data1. Asset Returns62. Data Sources and R Demoslration3. Distributional Properties of Returns4. Nonparametric Density Estimation4Linear Models for Financial Time Series1. Stationarity92. Correlation and ACF3. Moving Average Models4. Autoregressive Models5. ARMA Models

12、6. Unit-Root Nonstationarity7. Forecasting Using an ARMA Model5AssetVolatility and Volatility Models1. Characteristics of Volatility62. Model Building Procedure3. Testing for ARCH Effect4. The ARCH Model5. The GARCH Model6. Extended GARCH Models6ExtremeValues, Quantiles, and Value at Risk1. Risk Mea

13、surement and Coherence62. Riskmetrics3. An Econometric Approach4. Quantile Estimation5. Extreme Value Theory7High- Frequency Financial Data Analysis1. Nonsynchronous Trading92. Bid-Ask Spread3. Characteristics of Trading Data4. Models for Price Changes5. Duration Models6. Realized Volatility8Multiva

14、riate Time Series Analysis1. WeakStationarityandCross-Correlation Matrics62. Vector Augoregressive Models3. Cointegration4. Pairs Trading9Course RevisionRevision of Course Content, Questions and Answers3In Total: 51 hoursCourse Requirements1 .Preliminary: Econometrics, Probability Theory and Mathema

15、tical Statistics3 .Assignments: Finish the assignments after the lectures and submit to the Course Center before the deadlines.4 .Final Exam: Written exam. The students cannot bring any reference books or lecture slides to the exam. Be familiar with the theoretical derivations learned in the lecture

16、s, and use the theoretical models and methodologies acquired from this course to analyze practical real-world financial problems.(5)Teaching PlanWeekLecture ContentTeaching methodAssignmentsLearning Materials1Chapter 0: Introduction1 Introduction to FinancialEconometrics2 Introduction to RLecture, E

17、xtracurricular readingText and reference books readingCB2014 Chapter 1MC2012 Chapter 1-52Chapter 1: Basic Econometrics1 Classical Linear Regression Model2 OLS Regression3 Hypothesis Testing4 Maximum Likelihood EstimationLecture, Extracurricular readingText and reference books readingCB2014 Chapter 2

18、CB2014 Chapter 8 P444-4483Chapter 2: Asset Returns and Stylized Facts of Financial Data 1 Asset Returns2 Data Sources and R DemostrationLecture, Extracurricular readingText and reference books readingRT2012-Chapter 1, Pl-20FY2015-Chapter 1, Pl-74Chapter 2: Asset Returns andStylized Facts of Financia

19、l Data3 Distributional Properties of Returns4 Nonparametric DensityLecture, Extracurricular readingText and reference books reading (Distribute Assignment 1)RT2012-Chapter 1, P20-35FY2015-Chapter 1, P7-30Estimation5Chapter 3: Linear Models for Financial Time Series1 Stationarity2 Correlation and ACF

20、3 Moving Average ModelsLecture, Extracurricular readingText and reference books readingRT2012-Chapter 2, P39-79FY2015-Chapter 2JH994-Chapter 1-36Chapter 3: Linear Models for Financial Time Series4 Autoregressive Models5 ARMA ModelsLecture, Extracurricular readingText and reference books reading (Sub

21、mit assignment 1 and distribute assignment 2)RT2012-Chapter 2, P79-86FY2015-Chapter 2JH994Chapter 4&S7Chapter 3: Linear Models for Financial Time Series6 Unit-Root Nonstationarity7 ForecastingLecture, Extracurricular readingText and reference books readingRT2012-Chapter 2, P86-125FY2015Chapter 2JH99

22、4Chapter 4&58Chapter 4: Asset Volatility andVolatility Models1 Characteristics of Volatility2 Model Building Procedure3 Testing for ARCH EffectLecture, Extracurricular readingText and reference books reading (Submit assignment 2)RT2012-Chapter4, P176-1859Chapter 4: Asset Volatility and Volatility Mo

23、dels4 The ARCH Model5 The GARCH Model6 Extended GARCH ModelsLecture, Extracurricular readingText and reference books reading (Distribute Assignment 3)RT2012-Chapter4, P185-210, P211-22610Chapter 5: Extreme Values, Quantiles, and Value at Risk1 Risk Measurement and Coherence2 RiskMetrics3 An Economet

24、ric ApproachLecture, Extracurricular readingText and reference books readingRT2012-Chapter 7, P327-336Recommended reading:Handbook of Financial Econometrics, VI, Chapter 10, Value at Risk.11Chapter 5: Extreme Values, Quantiles, and Value at Risk 4 Quantile Estimation5 Extreme Value TheoryLecture, Ex

25、tracurricular readingText and reference books reading (Submit assignment 3 and distribute assignment 4)RT2012-Chapter 7, P337-352RT2012-Chapter 7, P352-372Recommended reading:Handbook of Financial Econometrics, VI, Chapter 10, Value at Risk.12Chapter 6: High- FrequencyFinancial Data Analysis1 Nonsyn

26、chronous Trading2 Bid-Ask SpreadLecture, Extracurricular readingText and reference books readingRT2012-Chapter 6, P274-28213Chapter 6: High- FrequencyFinancial Data Analysis3 Characteristics of Trading Data4 Models for Price ChangesLecture, Extracurricular readingText and reference books reading (Su

27、bmit assignment 4 and distributeRT2012-Chapter 6, P282-297assignment 5)14Chapter 6: High- Frequency Financial Data Analysis5 Duration Models6 Realized VolatilityLecture, Extracurricular readingText and reference books readingRT2012-Chapter 6, P298-32315Chapter 7: Multivariate Time Series Analysis1 W

28、eak Stationarity and Cross-Correlation Matrics2 Vector Augoregressive ModelsLecture, Extracurricular readingText and reference books reading (Submit assignment 5)RT2013-Chapter 1-2FY2015-Chapter416Chapter 7: Multivariate Time Series Analysis4 Cointegration5 Pairs TradingLecture, Extracurricular read

29、ingText and reference books reading Group presentationRT2013-Chapter 5FY2015Chapter 417Revision of Lecture ContentLectureQ&A5. ExamAssessmentContentAssessment MethodGradeFinal ExamLecture ContentWritten exam without using text books or lecture slides50Assignments5 assignmentsIndependently finished and submitted before the deadlines50