FORMATIONS |
Fiche détaillée d'un cours
FINANCIAL ECONOMETRICS | |||
2023-2024 | FrIESEG School of Management
(
IÉSEG
)
| ||
Code Cours : | 2324-IÉSEG-MAC1S1-FIN-MACCE03UE | FINANCE |
Niveau | Année de formation | Période | Langue d'enseignement |
---|---|---|---|
MSc in Accounting, Audit and Control | 1 | S1 | FrEnglish |
Professeur(s) responsable(s) | F.CASALIN |
---|---|
Intervenant(s) | F.CASALIN |
- Ce cours apparaît dans les formations suivantes :
- IÉSEG > MSc in Accounting, Audit & Control > Semester 1 > 2,00 ECTS
Pré requis
Students are expected to have a general understanding of the following concepts: random variables; basic probability distributions such as Gaussian, Student t, Chi-square and Fisher distributions; statistics such as expectation/mean, variance/standard deviation, correlation; hypothesis testing, p-values (i.e. critical thresholds for tests) and confidence intervals.
Objectifs du cours
AACSB AoL 3C - Breakdown complex organizational problems using the appropriate methodology
AACSB AoL 5B - Construct expert knowledge from cutting-edge information
AACSB AoL 7A - Demonstrate an expertise on key concepts, techniques and trends in their professional field
AACSB AoL 7D - Be a reference point for expertise-related questions and ambiguities
Contenu du cours
Based on real datasets and practical applications (on Excel and Eviews), the lectures will cover the following topics:
- Correlation tests to check for linearity between variables;
- Simple linear regression;
- Multiple linear regression;
- Graphical investigation of breaks in time series and usage of dummy variables;
- Validation of regressions (i.e. fulfillment of key OLS assumptions, residuals’ autocorrelation and heteroskedasticity)
- Use and limitations of linear regressions.
Modalités d'enseignement
Organisation du cours
Type | Nombre d'heures | Remarques | |
---|---|---|---|
Independent work | |||
E-Learning | 8,00 | Through the use of Excel and Eviews | |
Independent study | |||
Estimated personal workload | 10,00 | ||
Group Project | 16,00 | ||
Face to face | |||
Interactive class | 16,00 | In class applications with Eviews and Excel | |
Charge de travail globale de l'étudiant | 50,00 |
Méthodes pédagogiques
- Case study
- Coaching
- E-learning
- Interactive class
- Project work
- Tutorial
Évaluation
1) Financial econometrics project (each group of students works on a selected dataset).
2) A final exam composed of problems, course questions (students can bring a two-sided A4 cheat sheet only devoted to valuation formulas), and in class applications using Eviews to analyse a given dataset.
Type de Contrôle | Durée | Nombre | Pondération |
---|---|---|---|
Others | |||
Group Project | 0,00 | 1 | 50,00 |
Final Exam | |||
Written exam | 2,00 | 1 | 50,00 |
TOTAL | 100,00 |
Bibliographie
- R.A. DeFusco, D.W. McLeavey, J.E. Pinto, M.J.P. Anson, D.E. Runkle, 2015, Quantitative Investment Analysis, 3rd Edition, Wiley -
Ressources internet
* Informations non contractuelles et pouvant être soumises à modification