2023

Financial Modelling

Name: Financial Modelling
Code: ECN10957M
6 ECTS
Duration: 15 weeks/156 hours
Scientific Area: Economy

Teaching languages: Portuguese
Languages of tutoring support: Portuguese
Regime de Frequência: B-learning

Sustainable Development Goals

Learning Goals

- To provide an overview of various areas of financial econometrics.
- To teach students the basics of a variety of technical econometric techniques and ideas that are important in quantitative research in finance.

Contents

1. Statistical characteristics of financial data
2. Microeconometric models
3. Time series modelling and forecasting
4. Modelling long-run relationships in finance
5. Modelling volatility

Teaching Methods

Small group classes where theoretical contents are supplemented by exercise lectures and computer exercises. Real economic data is employed on solving the computer exercises using adequate software.

Evaluation: individual (open book) written examination + one empirical group work.

Teaching Staff

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