FIN
424: INTRODUCTION TO FINANCIAL
ECONOMETRICS
Spring 2005
Professor Pin-Huang Chou
choup@cc.ncu.edu.tw
886-3-4227151 ext 6270
http://www.mgt.ncu.edu.tw/~chou
Introduction
This is a course in introductory financial econometrics. The aim
of this course is (a) to introduce the students empirical topics that are of
interest and relevant to financial academics and practitioners and (b) to train
the students to be able to implement research ideas to practice via econometric
modeling and tools. Since this course focuses on developing students' skill to
solve problems by their own, there will be no exams. Except for the first few
lectures, all topics will be presented by the students; I believe the best way
for students to learn is by themselves, rather than by the instructor's
lecturing. Students are expected to discuss with me thoroughly before they
present in the class. Also, there will be a term paper due by the end of the
semester. Students are also required to discuss with the research topic by
early May.
Textbook:
財金計量（鍾惠民、吳壽山、周賓凰、范懷文著），雙葉書廊。
Grading
| Assignments |
20% |
| Term paper |
50% |
| Presentation |
30% |
Class Hours: Thursday, 2:00 -- 5:00 PM.
Topics
- Introduction
- Introduction to conducting empirical project and writing research paper
- Review of Statistics
- SAS basics
- Returns on individual securities and indexes
- Basic regression models
- Advanced regression models
- Using dummy variables
- ARIMA
- Empirical Application on CAPM
- Mutual fund performance measure
- Event studies
- Investment strategies
Some sample SAS Programs
1. DW.sas
2. Heter1.sas
3. ARIMA.sas
4. Chowtest.sas
5. Autoreg.sas
6. Probit.sas