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Quantitative methods in finance


Cilji predmeta

The students will obtain the knowledge and skills for modern quantitative analysis in finance. They will be able to apply this knowledge to the investigation of economic processes, and also understand the econometric and multivariate methods, approaches, ideas, results and conclusions met in the majority of economic and business books and articles. The students will understand essential differences between time series, cross-section data and panel data, and the specific econometric problems met when working with these types of data. The students should get the skills for construction and development of multiple regression models. The considered methods and models will be mastered practically on real economic data bases with modern econometric software.

Key objectives and competences of the course are thus the following:
- To expand the knowledge of basic econometric models used in applied economic analysis, where a formal treatment of the models is complemented with empirical applications.
- To prepare the students to be able to use econometric methods and multivariate analysis for analysis at an advanced level.

Vsebina predmeta

1. Introduction to quantitative methods in finance
2. Multiple regression model
3. Hypotheses testing
4. Model diagnostics in the multiple regression model
5. Regression models with dummy explanatory variables
6. Distributed-lag regression models
7. Instrumental variables estimation
8. Multivariate analysis
9. Time series modelling and forecasting
10. Discrete choice models
11. Panel data analysis

Nosilci predmeta

  • red. prof. dr. Miroslav Verbič

  • Katedra za matematiko, statistiko in operacijske raziskave (namestnik predstojnice katedre)
  • Katedra za denar in finance (pridruženi član)
  • Govorilne ure
  • ponedeljek ob 14.30 v RZ-402
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