Overview
Aims
The course aims to provide theoretical knowledge and practical skills related to quantitative analysis.
It is focused on modeling in econometrics and prediction in financial phenomena.
The issues described in this course are concerned with econometrics models based on time series with applicability in risk models,
Course contents
I. Examples and applications related to the role of time series in financial econometrics II. Applications for financial series modeling, based on autoregressive - moving average - ARIMA models and Garch models III. Aplications and case studies related to econometrics models for stationary and nonstationary financial series
Learning outcomes
- assimilating fundamental knowledge in the field of modeling and prediction of financial time series. - forming aptitudes needed for the analysis and prediction of financial series and for the elaboration of financial econometric models. - developing the capacity to analyze, communicate and control financial decisional models.
Assessment
Final evaluation–project based on a particular econometric model related to real time series : Assessment of the specific knowledge during the presentation of the project (90% of the final grade).