课程大纲
COURSE SYLLABUS
1.
课程代码/名称
Course Code/Title
金融计量学及其应用
Financial Econometrics with Application
2.
课程性质
Compulsory/Elective
选修课 Elective
3.
课程学分/学时
Course Credit/Hours
3/48
4.
授课语言
Teaching Language
中英双语
Chinese and English
5.
授课教师
Instructor(s)
周倜
,
助理教授
,
金融系
ZHOU Ti, Assistant Professor, Department of Finance,
邮箱
/Email:zhout@sustc.edu.cn
6.
先修要求
Pre-requisites
无
7.
教学目标
Course Objectives
本课程有两个目标：
掌握金融计量学的知识以及相关的数量工具，熟悉对应的金融问题和数理模型(以资产定价为主)。熟悉
经济和金融市场数据，学会使用统计软件，运用所学金融计量学知识来进行实证分析。
There are two goals for this course:
1. Provide you with an introduction to financial econometrics and help you master related quantitative tools. Help
student get familiar with financial theory (especially asset pricing) and quantitative models that are commonly
used in empirical studies.
2. Expose you to real financial and economic data; guide you to
implement econometric tools in some statistical
software and apply these tools to conduct rigorous empirical analyses.
8.
教学方法
Teaching Methods
课堂讲授，上机操作及学生口头报告
9.
教学内容
Course Contents
Section 1
What is empirical research and what does financial econometrics/empirical finance cover? (1
Lecture)
Section 2
Efficient market hypothesis and methods for event studies (4 Lectures)
Section 3
Time-series return predictability and related econometric tests (9 Lectures)
Section 4
Review linear factor models (3 Lectures)
Section 5
Evaluating linear factor models---time series tests, cross-sectional tests, and portfolio sorting
approach (10 Lectures including lab tutorial)
Section 6
Cross-sectional return predictability, Capital market anomalies, and Fama-MacBeth method
(4 Lectures)
Section 7
Stochastic Discount Factor and Utility-based pricing model; Generalized Methods of
Moments (4 Lectures including lab tutorial)
Section 8
Volatility modelling-GARCH
、
stochastic volatility model
、
realized volatility model (4
Lectures)
Section 9
Econometrics for derivative pricing-affine jump diffusion models and their empirical
performance (5 Lectures)
Section 10
Paper presentations (4 Lectures)
10.
课程考核
Course Assessment
请再此注明：①考查
/
考试；②分数构成。
1 考查。2. 具体包括：出勤和课堂讨论（10%），随堂测试（30%），作业（30%）以及期末
报告
/
论文（
30%
）。
11.
教材及其它参考资料
Textbook and Supplementary Readings
1. The Econometrics of Financial Markets (PhD-level textbook in empirical asset pricing), John Y. Campbell,
Andrew Lo, and A. Craig MacKinlay,1996
2. John C. Cochrane, 2005, Asset Pricing (Revised Edition). (PhD -level textbook in asset pricing.)
3. Quantitative Financial Economics, 2
nd
, 2004, Cuthbertson Keith, Nitzsche Dirk (Master-level textbook in
empirical asset pricing.)
4. Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment. (PhD-level
econometric methods for dynamic stochastic models), Kenneth J. Singleton, Princeton University Press
Journal Articles
from top journals, including Journal of Finance, Journal of Finance Economics,
Reviews of Finance Studies, Journal of Political Economy, Econometrica, American Economic
Review, Quarterly Journal of Economics.
