数字经济概论
计量经济学II
课程学科背景:《计量经济学II》是金融学专业一门重要的专业基础课和方法论课程,在经济学理论基础到应用经济学专业课程教学阶段过渡过程中起到方法论的作用。它为金融学各类专业课程提供必要的技术分析基础和方法论。
课程开设的目的和意义:The purpose of this course, provide a comprehensive and systematic account of financial econometric models and their application to modeling and prediction of financial time series data. The goals are to learn basic characteristics of financial data, understand the application of financial econometric models, and gain experience in analyzing financial time series.
The course will be useful as an application of time series analysis for senior undergraduate and graduate students in finance major, who are interested in financial econometrics.
课程主要内容:This course begins with some basic characteristics of financial time series data. Then, it focuses on analysis and application of univariate financial time series. It also covers analysis and application of the return series of multiple assets, and finally related to analysis of volatility series. The main contents are distributional properties of returns, basics of time series analysis, univariate time series models, vector autoregression (VAR) models, cointegration analysis, and univariate GARCH models.
教学与考核方式:课程考核由平时成绩和期末考试两部分组成,分别占50%和50%的比例,其中,平时成绩包括实践操作作业、出勤、期末大测验等;期末考试是闭卷考试。
课程特色:本课程有别于仅针对西方国家金融系统下的计量经济学传统分析方法与世界观。在介绍计量经济学之金融时间序列分析的原理基础上,通过中国金融运行的案例分析和比较分析等方式说明社会主义市场经济条件下与资本主义市场经济条件下金融时间序列变量的独特性,突出我国社会主义市场经济下金融时间序列的新特征和规律,从而助力学生掌握中国特色的金融时间序列分析逻辑。- 1
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