ISCTE-IUL > Education > LFC

Financial Data: Modelling and Analysis (2 º Sem 2019/2020)

Code:	00500
Acronym:	00500
Level:	1st Cycle
Basic:	No
Teaching Language(s):	Portuguese
Friendly languages:

Be English-friendly or any other language-friendly means that UC is taught in a language but can either of the following conditions:
1. There are support materials in English / other language;
2. There are exercises, tests and exams in English / other language;
3. There is a possibility to present written or oral work in English / other language.

Semester	ECTS Credits	Theoretical Lesson (T)	Theoretical and Pratical Lesson (TP)	Practical and laboratorial lesson (PL)	Seminary (S)	Field Work (TC)	Training Period (E)	Tutorial Orientation (OT)	Contact Hours	Autonomous Work	Others (O)	Total Load Hours [?]Contact Hours + Autonomous Work
1	6.0	0.0 h/sem	36.0 h/sem	0.0 h/sem	0.0 h/sem	0.0 h/sem	0.0 h/sem	1.0 h/sem	37.0 h/sem	113.0 h/sem	0.0 h/sem	150.0 h/sem


Since year	2014/2015
Pre-requisites	Basic Statistics
Objectives	The course provides statistical and econometric techniques for financial data analysis. The interaction between theory and practice is emphasised, and students will be trained in formulating and testing financial models.
Program	1. Statistical inference: revision 2. Stylized facts of financial data: skewness, kurtosis and non-normality. 3. The classical model of linear regression. 4. Extensions of the classical model. Violation of the basic assumptions - heteroscedasticity, autocorrelation and multicolinearity. 5. Other topics dummy variables, nonlinear models, models with qualitative dependent variable, information criteria AIC and SBC, Wald, Likelihood ratio and Lagrange Multiplier tests
Evaluation Method	The continuous evaluation includes: - Classes audience: 20%. - Team work: 30%. - A final written test with all the subjects teached in the course: 50%. In the written test the students can use the formulas, the statistical tables and one calculator.
Teaching Method	The following methodologies (LM) will be used: 1. Expositional, presentation of the theoretical reference frames 2. Participative, with analysis and resolution of application exercises 3. Active, with the realization of individual and group works 4. Experimental laboratory, with development and operation of computer models The student should acquire analytical, information gathering, written and oral communication skills, according to the established learning outcomes. 5. Self-study.
Observations
Basic Bibliographic	Cont, Rama (2001), Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance, Vol. 1, 223-236. Wooldridge, Jeffrey (2012), Introductory Econometrics : A Modern Approach, Fifth edition.
Complementar Bibliographic	Johnston, J. e Dinardo, John (2000), "Métodos econométricos", McGraw-Hill, 4ª edição. Gujarati, D. (2009), "Basic Econometrics", McGraw-Hill, N. York, Fifth edition. Malkiel, B. (2007), "A Random Walk Down Wall Street", W.W. Norton, N. York. Pindyck,R. e Rubinfeld,D. (1998), "Econometric Models & Economic Forecasts" McGraw-Hill, N.York. Greene, William (2012), Econometric analysis, Prentice-Hall, Seventh edition.