ISCTE-IUL > Education > MF

Quantitative Methods for Finance (1 º Sem 2017/2018)

Code:	M8558
Acronym:	M8558
Level:	2nd Cycle
Basic:	Yes
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	2012/2013
Pre-requisites	NA
Objectives	The main purpose of this course is to enable students to apply univariate and multivariate data analyses to real situations in business and institutional environments.
Program	1. Statistical inference: a brief review 2. Correlation and simple linear regression 3. Multiple linear regression model (MLRM) 4. Specification and stability tests 5. Assumptions of the MLRM: normality and multicollinearity 6. Assumptions of the MLRM: heteroscedasticity 7. Assumptions of the MLRM: autocorrelation 8. Models with binary dependent variable: LOGIT and PROBIT 9. Introduction to time series models
Evaluation Method	The evaluation takes place in two periods: Regular (or first season) and Re-sitting (or second season). In the Regular Season students must have a minimum of 80% attendance and will be evaluated as follows: a) Team works (40%). b) One final exam (60%) covering the entire subjects - the score must be at least 8.5 points. Score must be at least 10 points in order to get approval on this course. In the written assessment students can use a form, statistical tables, 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	Wooldridge, Jeffrey (2008), Introductory Econometrics : A Modern Approach. Brooks, Chris (2002), Introductory Econometrics for Finance , Cambridge University Press. Johnston, J. e Dinardo, John (2000), Métodos econométricos, McGraw-Hill, 4ª edição. Murteira, Bento J. (1993), Probabilidades e estatística, Vols. I e II, McGraw-Hill, 2ª edição.
Complementar Bibliographic	Greene, William (2002), Econometric analysis, Prentice-Hall, Fourth edition. Malkiel, B. (1996) A Random Walk Down Wall Street, W.W. Norton, N. York (6ª Ed.) Pindyck, R. e Rubinfeld, D. (1991), Econometric Models & Economic Forecasts McGraw-Hill, New York.