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1、Course IntroductionFinancial EconometricsCourse Code：Course Code：Course Name： Financial EconometricsPrerequisites ： Statistics, Probability Theory and Mathematical Statistics, Econometrics, Microeconomics, Macroeconomics.Follow-up Courses： Financial Engineering, Fixed Income SecuritiesBilingual Teac
2、hing or Not：Credits： 3Lecture Hours： 48Total Credit Hours： 48Experiment Hours：Practice Hours：Programming Hours：School： 08 School of BusinessTarget Major： FinanceCourse DescriptionFinancial econometrics is an important course of finance, which lays the methodological foundation of quantitative analys
3、is and empirical research for the following professional courses and professional elective courses. The main contents can be divided into three parts: the first part is the basis of financial metrology, which mainly includes the univariate linear regression model, multivariate linear regression mode
4、l, regression model after relaxing the basic assumptions, virtual variable model, nonlinear model, etc.; the second part is the financial time series model, which mainly includes unit root test, autoregressive moving average (ARMA) model, Co The third part is the application of financial econometric
5、s. It mainly introduces the domestic scholars research on the three problems of EMH, CAPM and GARCH.Through the study of this course, students can understand the basic theories, models and methods of modem financial metrology, cultivate their ability to establish financial metrology models with the
6、aid of econometric software on the basis of economic and financial theories, broaden their thinking of analyzing and researching real economic and financial problems, and enhance their quantitative analysis and practical ability, so as to improve their ability of analyzing and doing business with Ch
7、ina Empirical research in financial markets has laid a solid foundation.Course ResourcesTextbooks :Zhang Chengsi, Financial econometrics from the perspective of time series analysis, Renmin UniversityPress, 2016Bibliography :1. Zouping, Financial econometrics, Shanghai University of Finance and Econ
8、omics Press, 20182. Introductory Econometrics for Finance, Chris Brooks, 20193. Sun Jingshui, Ma Shuqin. Econometrics. Beijing: Tsinghua University Press, 2004.4. Lu Maozu. Advanced time series econometrics. Shanghai: Shanghai Peoples publishing house, 20045. Babel, Luo, McKinley. Financial market econometrics. Trans. Zhu Pingfang, et al. Shanghai: Shanghai University of Finance and Economics Press, 20036. Li Zinai. Econometrics. Beijing: Higher Education Press, 20017. Zhang Xiaodong. Fundamentals of econometrics. Tianjin: Nankai University Press, 2001