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Contents

Course Code

IAM 526 (9700526)

Credit

(3-0) 3

Prerequisites

Introductory knowledge of calculus and statistics; basics of finance

Content/ Aims

This course is concerned with recent developments in the time series techniques for the analysis of financial markets. It provides a rigorous account of the time series techniques dealing with univariate and multivariate time series models. The techniques will be illustrated by a number of applications.

Learning Outcomes

Suggested Textbooks

  • Introductory Econometrics for Finance, by Chris Brooks, Cambridge University Press; first edition, 2002.

Outline

  • Introduction
  • Econometric Packages for Modelling Financial Data
  • Regression Analysis (an overview)
  • Further Issues with the Regression Analysis
  • Univariate Time Series Modelling and Forecasting
  • Multivariate Models
  • Modelling Long-run Relationships in Finance
  • Modelling Volatility and Correlation
  • Simulation Methods
  • Conducting Empirical Research in Finance