Econometrics (Ⅰ) National Taiwan University
Course Overview
This course is about the econometric analysis of financial time series. We will cover some popular and useful methods and their empirical applications. These methods include ARIMA processes, GARCH models, stochastic volatility models, and continuous-time models. If time is allowed, we will also look at copula methods and their applications in finance.
Learning Achievement
Competence
Course prerequisites
First priority: Master or PhD studnents in Finance
Grading Philosophy
Course schedule
Course type
Online Course Requirement
Instructor
CHUNG-MING KUAN
