Econometria Financeira (Iseg)

Objectives

In this course, we introduce some statistical tools useful for analyzing financial and economic time series. At the end of the course, students should be able to understand basic characteristics of economic and financial data, linear models for handling serial dependence of the series, and modeling and forecasting the conditional variance of a financial time series.

Syllabus

- Empirical features and stylized facts of financial time series - Linear models for time series analysis - Conditional heteroscedasticity models - Financial applications with EViews

Prerequisites

Mathematics, including a basic course in analysis; Probability and Statistics, including linear regression model.

Cross Competence Component

The analysis of time series is useful in economics and finance, as well as other scientific areas, such as seismology, medecine, social studies, telecommunications and quality control.

Laboratorial Component

practical exercises (individual and group work), model fit and forecast of time series using software.

Programming And Computing Component

use of recommended software, as R, Gauss or Python.

Ethical Principles

All members of a group are responsible for the group’s work. In any assessment, every student shall honestly disclose any help received and sources used. In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.