复旦大学时间序列分析讲义 张立坚

复旦大学时间序列分析讲义 张立坚

   1. Models,Data and Process
The nature of the econometric approach
The Process of an econometric analysis
   2. Applications of Financial Econometrics
Dynamic effects of various shocks
Empirical finance
Refining data
    3.  Key Features of Financial Time Series
The regression model
Time series models
Dynamic model
   4. Contents of Time Series Modeling
Stationary stochastic time series model
Nonstationary stochastic process
Multiple time series modeling
Time series models of heteroskedasticity
State space model
   5. Text and Software
Text
Software
   6. Some Basic Tools
Difference equations and their solutions
Solution methodology
Stability conditions
Impulse response function
The basics of time series analysis software
   7. Summary and Conclusions
     Appendix: TSP Program to Accompany Chapter 1
      Box: Empirical Research on Exchange Rate
      Bibliography

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