Métodos Quantitativos em Finanças
Code
400057
Academic unit
NOVA Information Management School
Credits
4.5
Teacher in charge
Jorge Morais Mendes
Teaching language
Portuguese. If there are Erasmus students, classes will be taught in English
Objectives
The main objective of this course is to develop the skills needed to do quantitative analysis of financial data. The course intends to meet two goals. It provides tools for empirical work financial data and is an introduction into the theoretical foundation of linear regression and time series models. This course balances between theory and applications. After completing this course, a student will be able to analyse financial data using R software for both linear regression and time series models.
Prerequisites
Statistics and linear algebra (recomended)
Subject matter
- Simple linear regression model. Principles, definition, inference and hypothesis testing.
- Multiple linear regression model. Principles, definition, inference and hypothesis testing.
- Time series analysis. Modelling trends and cycles.
- Time series models: ARIMA and volatility models.
Bibliography
- Stock, James H., Watson, Mark M.(2012). Introduction to econometrics. 3rd ed. Addison-Wesley, Boston,
- Hull, John. (2012). Risk Management and Financial Institutions, 3rd Edition. Pearson Prentice Hall, Boston,
- Diebold, Francis. X. (2006). Elements of Forecasting, 4th Edition. Cengage Learning, Mason, Ohio.
Teaching method
The course is based on theoretical classes and and practical problems. The classes are aimed at solving problems and exercises.
Evaluation method
(100%) Final exam (1st or 2nd round dates)
Remarks:
1. A minimum grade of 9.5 points is required in final exam