Contents |
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Course Code
IAM 526 (9700526)
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Credit
(3-0) 3
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Prerequisites
Introductory knowledge of calculus and statistics; basics of finance
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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.
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Learning Outcomes
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Suggested Textbooks
- Introductory Econometrics for Finance, by Chris Brooks, Cambridge University Press; first edition, 2002.
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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