赵老师回答: 金融工程是培养既熟习金融市场又掌握数学方法与计算机等工程计算方法的复合型应用人才。下面的一些内容是重要的 Introduction to financial markets Investment problem Arbitrage, risk neutral, and martingale Black-Scholes formula Fixed-income markets models Equilibrium models
参考文献:Campbell, J.Y., Andrew W. Lo and Mackinglay A.C., The Econometrics of Financial Markets, Princeton University Press., 1997. Tsay R.S, Analysis of Financial Time Series,John Wiley & Sons, New York. 2002,
赵老师回答: 由于空间变量相互影响的复杂性(涉及到横截面数据与面板数据相互影响),空间计量经济学还有许多问题尚待解决。 参考文献: L. Anselin, R. Florax and S. Rey (eds.), Advances in Spatial Econometrics. Methodology, Tools and Applications. Berlin: Springer-Verlag, 2004
计量经济学方面: 本科:Stock J. H. and Watson M. W. Introduction to Econometrics, 2nd.ed, Addison Wesley, 2006 研究生:Tsay R.S, Analysis of Financial Time Series,John Wiley & Sons, New York. 2002 Fan,J. and Yao, Q, Nonlinear Time Series: Nonparametric and Parametric Methods,Springer, 2003 Hayashi, F. Econometrics, Princeton University Press,2000
(2)在对非均衡数据进行面板分析时,选择GLS方法,权重为Cross section,有时会出现“positive or non-negative argument to function expected in computation of group weight(variance)”这是什么意思?怎么解决?