Financial Econometrics
Code
2237
Credits
7
Teacher in charge
Paulo Manuel Marques Rodrigues
Teaching language
English
Objectives
Prerequisites
Subject matter
1. Financial Regression Analysis
2. The Characteristics of Financial Data
3. Time Series Analysis and Forecasting
4. Modelling and Forecasting Volatility
5. Binary Choice Models
6. Panel Data Models
Bibliography
Teaching method
While lectures cover the core material, it is important that students supplement classroom time with pre‐class preparation, through independent study. Background reading is expected. Directed (computer) exercises and assignments will help students consolidate the different topics discussed in classes.
Evaluation method
Students will be assessed on one group research project (25%), several assignments (15%), an intermediate test (30%) and a final exam (30%) ‐ minimum average grade requirement (intermediate test + final exam) of 7).