ISCTE-IUL > Education > MC , ME , MF , MG , MGRHCO , MGST , MGI , MM

Forecasting Methods (2nd Cycle) (2 º Sem 2018/2019)

Code:	M3507
Acronym:	M3507
Level:	2nd Cycle
Basic:	No
Teaching Language(s):	English
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	30.0 h/sem	0.0 h/sem	0.0 h/sem	0.0 h/sem	0.0 h/sem	1.0 h/sem	31.0 h/sem	119.0 h/sem	0.0 h/sem	150.0 h/sem


Since year	2018/2019
Pre-requisites	Introduction to Econometrics.
Objectives	Forecasting Methods is and elective course (in english) in the ISCTE - IUL Business School masters of Management and Finance. The course provides modern econometric and forecasting techniques of economic and financial data. The interaction between theory and practice is emphasised, and students will be trained in formulating and testing financial models.
Program	1. Trends and simple smoothing methods(2 lectures) 2. Decomposition and advanced smoothing methods(2 lectures) 3. Alternative estimation methods(2 lectures) 4. Introduction to stochastic time series models(2 lectures) 5. ARIMA Models (2 lectures) 6. ARIMA Models: applications and concepts review (2 lectures) 7. Volatility measurement, ARCH modeling and forecasting (2 lectures) 8. Introduction to multivariate models (2 lectures) 9. Cointegration analysis: applications (2 lectures) 10. Introduction to panel data models (2 lectures)
Evaluation Method	The evaluation can be done through Periodic Assessment or Assessment by Exam. Evaluation in periodic assessment includes a team work (40%) and a test (60%) covering the entire topics - the score must be at least 7.5 points. In periodic assessment students must attend at least 66.67% of the classes. In the assessment by exam there is only a final exam representing 100%. In the written assessment students can use a form and a calculator.
Teaching Method	The student should acquire analytical, information gathering, written and oral communication skills, according to the established learning outcomes. 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 5. Self-study.
Observations
Basic Bibliographic	Financial Econometrics: o Campbell, J.Y., Lo, A.W. and MacKinlay, A.C. (1997), ?The Econometrics of Financial Markets?, Princeton University Press: Princeton, NJ. o Cochrane, J.H. (2005), ?Asset Pricing?, Princeton University Press: Princeton, NJ. Forecasting: o Diebold, Francis X. (2004), ?Elements of forecasting?, South-Western: Canada, third edition. o Pindyck, R. S. and Rubinfeld, D. L. (1998), ?Econometric models and economic forecasts?, McGraw-Hill, 4th edition. o DeLurgio, S. A. (1998), ?Forecasting principles and applications?, McGraw-Hill. Lecture Notes
Complementar Bibliographic	Financial Econometrics: Brooks, C. (2002); Cuthbertson, K. (1996); Gourieroux, C. and Jasiak, J. (2001); Blake, D. (2001). Econometrics: Hayashi, F. (2000); Davidson, J. (2000); Greene, W. (2003).