Download Quantitative Methods of Financial Analysis MSc in Finance and

Quantitative Methods of Financial Analysis
MSc in Finance and Banking
Athens University of Economics & Business
Instructor: Prof. Antonis Demos
Aims and objectives:
The aim of the course is to introduce students to q u a n t i t a t i v e m e t h o d s w i t h
emphasis on their application to decision taking. The scope of the lectures is
to familiarize the students with the basic theoretical principles and the
models applied to Finance. The course also includes lab applications with
real economic and financial data. The practical significance of this course is
of great importance, as the statistical and econometric analysis is necessary
to create Portfolios, to the rational decisions making, in the Banking Sector ,
in the Capital and Money markets, to asses Portfolio performance, etc.
Completing the course, the students w i l l a bl e t o q u a n t i f y a gi ve n p r o b l e m , t o f i nd
t h e ap p r o pr i a t e me t h od t o s ol ve i t , t o c o n si d e r al t e r na t i ve mo d e l s o r es t i ma t i n g
p r o c ed u r e s , an d t o emp l o y t h e r e s ul t s t hi s q ua n t i t a t i ve a n al ys i s on d ec i si on
ma ki n g f o r t h e f i na n ci a l ma r ke t s a n d b an ki n g s e c t o r . T h e m a i n a p p l i c a t i o n s o f
the financial markets are the assessment of funds and portfolios, of credit
risk, and the behaviour of interest and exchange rates
Course outline and reading list
1. Hypothesis Testing and Economic Applications
(Hypotheses on the mean, normal and non-normal population, and variance)
2. Simple and Multiple Regression
(Least Squares, Accuracy of Least Squares, Statistical Properties, adding and deleting
variables.)
3. Hypothesis Testing in the Linear Regression
(t test, F test, coefficient of determination, partial regression)
4. Economic and Financial Applications of Simple and Multiple Regression
(Emphasis on the Capital and Arbitrage Asset Pricing models)
5. Diagnostic Tests and Model Assessment and Adjustment
(Autocorrelation. Heteroskedasticity. Economic significance of Heteroskedasticity on
Portfolios and Funds. Multicollinearity. Dummy variables)
6. ) Non-linear Methods
(Maximum Likelihood. GMM)
7. Introduction to Time Series
(Emphasis on GARCH and VAR models)
8. Qualitative Dependent Variables
(Logit and Probit models.)
Text Books:
Heij, C., P. de Boer, P.H. Frances, T. Kloek and H.K. van Dijk, “Econometric Methods with
Applications in Business and Economics”, Oxford University Press.
Hill, R.C., W.E. Griffiths and G.C. Lim, “Principles of Econometrics” 4th Edition, J. Wiley and
Sons.
Asteriou. D. and S.G. Hall, “Applied Econometrics; A Modern Approach”, 2nd Edition, Palgrave
MacMillan.
Vogelvang, B., “Econometrics; Theory and Applications with EViews”, Pearson Education.