Financial Risk Management Econometrics

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Course Syllabus
         Personal Information
•   Instructor Name: Ming-Yuan Leon Li
•   Instructor Tel: Ext 53421
•   E-mail:
•   Office Hours:
    – Monday: 10:30-12:00 AM
    – Thursday: 2:00-3:30 PM
• Office Number: 63315
        Personal Information
• Current Position:
  – Associate Professor, Department of
    Accountancy and Institute of Finance and
    Banking, National Cheng Kung University
    (NCKU), Taiwan
• Past position:
  – Associate Professor and Chair, Department of
    Banking and Finance, National Chi Nan
    University (NCNU), Taiwan
        Personal Information
• Research interests:
  – Financial Risks Estimation
  – Stochastic Volatility
  – Empirical Study of Capital Asset Pricing
  – International Portfolio Management
  – International Finance
        Personal Information
• Publications:
  – No. of papers published in SSCI international
    journals: 7 (5 of them are single-authored)
  – No. of papers published in Taiwan’s SSCI
    journals: 6
  – Two papers are now under review in the 2nd
    round in two A-level SSCI journals
 Course Descriptions/Objectives
• Help students to better understand the topics
  related to "Econometrics" by textbook studying
  and extra handouts in the class.
• The goals of this course are the following :
  – (1) Formulation of econometrics, that is, formulation of
    economic (or financial) models in an empirically
    testable form. Usually there are several ways of
    formulating the econometric model from an economic
    model because we have to choose the functional form,
    the specification of the stochastic structure of the
    variables, and so on. This part constitutes the
    specification aspect of the econometric work.
  – (2) Estimation and testing of these models with
    observed data
  – (3) Use of these models for prediction and policy
• 1st Exam (25%): held in the 7th week
  (April, 1 to 7)
• 2nd Exam (25%): held in the 13th week
  (May, 13 to 19)
• 3rd Exam (30%): held in the 19th week
  (June, 24 to 30)
• Class participation (20%)
– Class participation
   • Homework
      – Writing and oral reports
   • Participation rate
      – Since It is a Ph.D. training course, you are
        encouraged to participate actively in classroom
        discussion. In order to maximize your learning
        and to receive credit for your classes, you must
        attend at least 80% of classes.
      – Teacher will follow the textbook to present the
        related important topics of Econometrics. It is
        expected that every student attend all classes
        and take all examinations when scheduled.
• Maddala, G.S., Introduction to
• Two Supplements
  – Hamilton, J.D., Time Series Analysis
  – Judge, G.G. et. al., Introduction to the Theory
    and Practice of Econometrics
   Course Calendar/Schedule
• Before 1st Exam:
  – The Linear Regression Model (Ch 1 to Ch 4)
  – Chapter 5 Heteroskedasticity
  – Chapter 6 Autocorrelation
• Between 1st and 2nd Exam:
  – Chapter 7 Multicollinearity
  – Chapter 8 Dummy variables and truncated models
  – Chapter 9 Simultaneous equations models
• After 2nd Exam:
  – Chapter 13 Introduction to time-series analysis
  – Chapter 14 Vector autoregressions, unit roots, and
  – Chapter 15 Panel Data Analysis
 Course Calendar/Schedule
– Introduction to three nonlinear models:
  Markov-switching, Threshold and Quantile
– Computer Programs: E-views, Gauss
• The slides in PowerPoint
• How to find them
  – My personal homepage
• Some suggestions
  – Download them and study them before the

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