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ECOM037 - Quantitative Techniques

The course offers an introduction to Econometrics in the context of quantitative financial analysis. Basic econometric tools needed for understanding and using financial models are introduced and explained. These will be accompanied by a number of applications in Finance in the fields of asset management and risk management. The two variables regression model will first be used to present the topics of estimation and hypothesis testing. Then, the standard regression model will be generalized to the multiple variables regression model. Next, an introduction to time series analysis and forecasting will be done. Depending on time constraints, topics such as volatility forecasting and principal components analysis will be explained. We will assume that you have knowledge of basic statistics and mathematics.

Prerequisites: None but knowledge of basic statistics and mathematics.

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