Code: | 2MiF03 | Acronym: | EM |
Keywords | |
---|---|
Classification | Keyword |
OFICIAL | Management Studies |
Active? | Yes |
Course/CS Responsible: | Master in Finance |
Acronym | No. of Students | Study Plan | Curricular Years | Credits UCN | Credits ECTS | Contact hours | Total Time |
---|---|---|---|---|---|---|---|
MIF | 42 | Official Syllabus after 2020-2021 | 1 | - | 6 | 42 | 162 |
The main goal of the course is to introduce econometric methods which are useful in the study of financial questions. The methods will be demonstrated by resorting to financial data and to specialized software. The course should also prepare the students to create and analyze empirical models in their dissertation or in the context of other scientific research in the financial area.
More specifically, the students will learn
- to create, estimate and interpret financial econometric models;
- to read and interpret articles in scientific Finance journals;
- to work with specialized software (EViews); and
- will develop skills on financial data use.
Course Outline:
1. Introduction. Structural models and time series models in Finance. Returns and risk. Asymmetry, non-linearity and volatility.
2. Classical Linear Regression Model. Hypotheses.
3. Heteroskedastic models.
4. Autocorrelated models.
5. Qualitative dependent variable models.
6. Time series and dynamic models.
7. Panel data models.
8. Case studies of financial problems using EViews software.
Several econometric models will be presented from the theoretical and technical perspectives, and will be illustrated through “case studies” – the methodology which we call RMRD, for Real Models with Real Data, in which applied studies of relevant financial problems with resort to real data an adequate software are made. Scientific literature which contains these econometric models will also be discussed.
The course will look for the active participation of students and encourage experimenting with data econometric methods and the use of software. The interplay between financial theory and practice will also be stressed, thus preparing the students to use financial econometric models in their future academic, scientific or industry research.
Designation | Weight (%) |
---|---|
Exame | 100,00 |
Total: | 100,00 |
Designation | Time (hours) |
---|---|
Estudo autónomo | 146,50 |
Frequência das aulas | 56,00 |
Total: | 202,50 |
The final grade will be determined from one final exam.