| Educational guide Faculty of Business and Economics |
english |
| Economics (2012) |
 Subjects |
| EMPRIRICAL ANALYSIS OF FINANCE |
| Contents |
| IDENTIFYING DATA | 2015_16 |
| Subject | EMPRIRICAL ANALYSIS OF FINANCE | Code | 16635234 | |||||
| Study programme |
|
Cycle | 2nd | |||||
| Descriptors | Credits | Type | Year | Period | ||||
| 3 | Optional | 1Q |
||||||
| Competences | Learning aims | Contents |
| Planning | Methodologies | Personalized attention |
| Assessment | Sources of information | Recommendations |
| Topic | Sub-topic |
| 1-STATISTICAL PROPERTIES OF FINANCIAL DATA | Stylised facts about financial data distribution of asset returns time dependency |
| 2-MODELS OF TIME-VARYING EXPECTED RETURNS | Univariate time series models (ARMA), applications to finance |
| 3-RISK MEASUREMENT AND INVESTMENT DECISIONS | Capital Asset Pricing Model (CAPM) the Arbitrage Pricing Theory (APT) empirical tests of CAPM and APT |
| 4-MODELS OF TIME-VARYING RISK | Modelling volatility (GARCH), asymmetric shocks and the leverage effect |
