財務時間序列分析
教科書 : Analysis of Financial Time
Series
( by Ruey S. Tsay,
Wiley, 2002)
授課教師 : 郭美惠
辦公室：理4004
分機：3820
上課時間：星期二 10：10 ~ 11：00AM
星期三 10：10 ~12：00AM
Office hour: Wednesday
11:00 am to 12:00
noon
Errata of the
book
上課講義：
Chapter 1: pdf
Chapter
2: pdf add.
data set: el-demand.dat
Chapter 3: pdf add. demon:
example-sp5.txt
Chapter 4:
pdf
Chapter 5: pdf
Chapter 6:
pdf
Chapter 7: pdf
Chapter
10: pdf (estimation of SV models)
期中考 : 2002/11/20 (考古題 : 2000題目,解答; 2001題目,解答;2002題目,解答)
期中考考古題電腦作業解答:
期末考 :2003/1/15
成績計分 : 35%
期中考
+ 35% 期末報告
+ 30% 作業
計算程式及指令：
A list of SCA commands
used: scacom.txt
SCA
demonstration: scademo
Example of SCA command file:
sca-command.txt
File transfer:
transfer
File transfer via FTP: ftp-inf.txt
Instructions for running RATS
program: rats.txt
Interface for RATS (unix machines only):
runrats
Example of neural network on
R: demo
Fortran program to estimate SV models is ``svm" on GSBMBA.