教學大綱 Syllabus

Upon successful completion of this subject students should be able to:

1. understand the theory and principles underlying a class of linear stochastic models, and appropriately apply time series techniques to financial problems;
2. understand the theory and principles underlying a class of volatility models and appropriately apply modelling techniques to financial problems;
3. formulate a testable hypothesis from a financial theory model;
4. develop a range of statistical tools for empirical tests of these hypotheses;
5. clearly communicate empirical applications and interpret results via written reporting;
6. point to valuable experience in modelling financial time series, testing models and presenting succinctly the results of your analysis of a given problem.