| 授業名 | Financial Econometric Modelling |
|---|---|
| Course Title | Financial Econometric Modelling |
| 担当教員 Instructor Name | Xinyang Wei |
| コード Couse Code | NUC436_N24B |
| 授業形態 Class Type | 講義 Regular course |
| 授業形式 Class Format | On Campus |
| 単位 Credits | 2 |
| 言語 Language | EN |
| 科目区分 Course Category | 専門教育科目 / Specialized Subject |
| 学位 Degree | BBA |
| 開講情報 Terms / Location | 2024 UG Nisshin Term3 |
授業の概要 Course Overview
Misson Statementとの関係性 / Connection to our Mission Statement
Aligning with the NUCB Undergraduate School's mission, this course will assist participants in acquiring creative thinking, an exploratory attitude, and data analytical skills to solve practical and financial problems.
授業の目的（意義） / Importance of this course
When analyzing financial data, such as stock market returns, interest rates or exchange rates, and commodity or asset prices, there are specific statistical issues that need to be addressed. This course will focus on the empirical techniques which are mostly used in the analysis of financial markets and how they are applied to real data. Key characteristics of financial data, concepts of volatility and risk, time-varying volatility modelling, and relationships among financial series will be the topics covered in this course. The knowledge and techniques obtained in this course are widely applied in the public as well as financial sectors. This course also teaches empirical study using the statistics and econometrics software Stata.
到達目標 / Achievement Goal
Participants will deepen their understanding of the fundamental methods of quantitative analysis of financial data and will be able to develop and apply these methods to analyze real-world financial data problems.
本授業の該当ラーニングゴール Learning Goals
*本学の教育ミッションを具現化する形で設定されています。
LG1 Critical Thinking
LG2 Diversity Awareness
LG3 Ethical Decision Making
LG4 Effective Communication
LG6 Managerial Perspectives (BBA)
LG2 Diversity Awareness
LG3 Ethical Decision Making
LG4 Effective Communication
LG6 Managerial Perspectives (BBA)
受講後得られる具体的スキルや知識 Learning Outcomes
After completing the course, participants are expected to demonstrate
• analytical skills through using real financial data and information and applying appropriate quantitative analysis methods.
• the capability to establish quantitative analysis frameworks and use Stata to analyze financial data.
• the ability to construct logical and professional written work relevant to financial data analysis and communicate ideas in a succinct and clear manner.
• analytical skills through using real financial data and information and applying appropriate quantitative analysis methods.
• the capability to establish quantitative analysis frameworks and use Stata to analyze financial data.
• the ability to construct logical and professional written work relevant to financial data analysis and communicate ideas in a succinct and clear manner.
SDGsとの関連性 Relevance to Sustainable Development Goals
Goal 4 質の高い教育をみんなに（Quality Education）
教育手法 Teaching Method
| 教育手法 Teaching Method | % of Course Time | |
|---|---|---|
| インプット型 Traditional | 30 % | |
| 参加者中心型 Participant-Centered Learning | ケースメソッド Case Method | 70 % |
| フィールドメソッド Field Method | 0 % | 合計 Total | 100 % |
事前学修と事後学修の内容、レポート、課題に対するフィードバック方法 Pre- and Post-Course Learning, Report, Feedback methods
Course Prerequisites
1. Prior to taking this course, it is highly recommended that participants have a basic understanding of statistical and linear regression topics, such as mean and variance, correlation coefficients, covariance, hypothesis testing, and regression analysis. These topics have been covered in previous NUCB courses, including Introduction to BBA and Business Statistics. For those who have not had the opportunity to study these topics, the relevant content can be found in the related chapters of the following book. We encourage participants to preview this material in advance of the course start:
https://2012books.lardbucket.org/books/beginning-statistics/
2. A laptop computer with Stata installed is required for financial data analysis and case studies throughout the course. Stata 14 or above editions are acceptable. BE, SE and MP editions can all satisfy the requirements of the course. Introductory support will be provided by the instructor for those students who have not used Stata before.
3. It is recommended that participants spend at least 3 hours of preparation time on each case, including the fundamental knowledge provided in the casebook. Participants who wish to gain more in-depth insights may read the relevant chapters of the textbook, but the course will be based on the content in the casebook.
Class Discussion
1. Through class discussions and the instructor's comments, participants will understand the principles of quantitative analysis methods. In the subsequent case study, participants will be able to apply these methods to solve real-world financial data problems.
2. The key points and difficulties in the fundamental knowledge and case study will be fully discussed, and the steps of case analysis and financial data analysis will also be discussed in detail.
3. Please note that the purpose of this course is to develop the participants' financial data analysis and hands-on skills. The focus of this course is not on mathematical derivations, although they may appear in the casebook.
1. Prior to taking this course, it is highly recommended that participants have a basic understanding of statistical and linear regression topics, such as mean and variance, correlation coefficients, covariance, hypothesis testing, and regression analysis. These topics have been covered in previous NUCB courses, including Introduction to BBA and Business Statistics. For those who have not had the opportunity to study these topics, the relevant content can be found in the related chapters of the following book. We encourage participants to preview this material in advance of the course start:
https://2012books.lardbucket.org/books/beginning-statistics/
2. A laptop computer with Stata installed is required for financial data analysis and case studies throughout the course. Stata 14 or above editions are acceptable. BE, SE and MP editions can all satisfy the requirements of the course. Introductory support will be provided by the instructor for those students who have not used Stata before.
3. It is recommended that participants spend at least 3 hours of preparation time on each case, including the fundamental knowledge provided in the casebook. Participants who wish to gain more in-depth insights may read the relevant chapters of the textbook, but the course will be based on the content in the casebook.
Class Discussion
1. Through class discussions and the instructor's comments, participants will understand the principles of quantitative analysis methods. In the subsequent case study, participants will be able to apply these methods to solve real-world financial data problems.
2. The key points and difficulties in the fundamental knowledge and case study will be fully discussed, and the steps of case analysis and financial data analysis will also be discussed in detail.
3. Please note that the purpose of this course is to develop the participants' financial data analysis and hands-on skills. The focus of this course is not on mathematical derivations, although they may appear in the casebook.
授業スケジュール Course Schedule
第1日（Day1）
Regression Analysis●使用するケース
Estimation of an Optimal Hedge Ratio第2日（Day2）
Moving Average Processes●使用するケース
Moving Average Processes Estimation第3日（Day3）
Autoregressive Processes●使用するケース
Autoregressive Processes Estimation第4日（Day4）
Autoregressive Moving Average Models●使用するケース
Constructing ARMA Models using UK House Prices第5日（Day5）
Autoregressive Conditional Heteroskedasticity (ARCH) Effect●使用するケース
Testing for ARCH Effects in Exchange Rate Returns第6日（Day6）
Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) Model●使用するケース
Estimating GARCH Models第7日（Day7）
Summary and Review●使用するケース
This is a tentative list, and the teaching content and progress as well as the cases to be used may be adjusted according to the actual situation.成績評価方法 Evaluation Criteria
*成績は下記該当項目を基に決定されます。
*クラス貢献度合計はコールドコールと授業内での挙手発言の合算値です。
*クラス貢献度合計はコールドコールと授業内での挙手発言の合算値です。
| 講師用内規準拠 Method of Assessment | Weights |
|---|---|
| コールドコール Cold Call | 0 % |
| 授業内での挙手発言 Class Contribution | 40 % |
| クラス貢献度合計 Class Contribution Total | 40 % |
| 予習レポート Preparation Report | 10 % |
| 小テスト Quizzes / Tests | 10 % |
| シミュレーション成績 Simulation | 0 % |
| ケース試験 Case Exam | 0 % |
| 最終レポート Final Report | 40 % |
| 期末試験 Final Exam | 0 % |
| 参加者による相互評価 Peer Assessment | 0 % |
| 合計 Total | 100 % |
評価の留意事項 Notes on Evaluation Criteria
教科書 Textbook
- Chris Brooks「Introductory Econometrics for Finance」Cambridge University Press（2019）
- Dimitrios Asteriou and Stephen G. Hall「Applied Econometrics」Bloomsbury Publishing（2021）
参考文献・資料 Additional Readings and Resource
Previous versions of the textbooks are also acceptable for use in this course.
授業調査に対するコメント Comment on Course Evaluation
The course structure and content will be refined and updated based on feedback and recommendations from previous participants.
担当教員のプロフィール About the Instructor
Dr Xinyang Wei is an Associate Professor at NUCB with a PhD in Economics from the University of New South Wales, Sydney. His research delves into intricate aspects of energy and environmental economics, with a focus on policy evaluation, climate change dynamics, and the pursuit of low-carbon development. Recognised for his exemplary research, he was granted the Herbert Smith Freehills Law and Economics Higher Degree Research Award. His scholarly contributions are reflected in publications across renowned academic journals, including Energy Economics, Energy, Renewable Energy, Renewable and Sustainable Energy Reviews, International Journal of Energy Research, and the Journal of Industrial Ecology.
（実務経験 Work experience）
Before joining NUCB, he accumulated enriching teaching and research experiences at both the University of New South Wales and the Macau University of Science and Technology. He possesses a profound background in supervising undergraduate, master's, and PhD theses, and has a versatile teaching portfolio spanning courses like Business Statistics, Data Analysis, Financial Data Analysis, Econometrics, Intermediate Econometrics, Financial Statistics and Econometrics, Financial Risk Management and Research Methodology. His dedication to excellence in education was recognised in Macau with the First Prize in the University Teaching Achievement Award.
Refereed Articles
- (2023) Study on the spatial spillover effect and path mechanism of green finance development on China's energy structure transformation. Journal of Cleaner Production
- (2023) Effect of green finance reform and innovation pilot zone on improving environmental pollution: an empirical evidence from Chinese cities. Environmental Science and Pollution Research
- (2023) The Impact of Fintech Development on Air Pollution. International Journal of Environmental Research and Public Health
- (2022) Multi-scenario simulation on reducing CO2 emissions from China's major manufacturing industries targeting 2060. Journal of Industrial Ecology
- (2022) Evaluation of contagious effects of China's wind power industrial policies. Energy