Research Methodology in Finance

Introduction

Welcome to this mandatory and important research methodology course in Finance. The importance of this course can be summarised in the following three questions:
1) What do I need to be able to identify the empirical predictions of a financial or economic theory?
2) What do I need to be able to test the empirical predictions of the theory?
3) What do I need to be able to critically evaluate the research methodology used in financial research?
Answer: Research Methodology in Finance.

Course content

Regression analysis

• Classical linear regression model (CLRM)
• CLRM assumptions and the diagnostic tests
• Panel regressions

Time series modeling

• Univariate time series analysis
  • Moving average (MA) processes
  • Autoregressive (AR) processes
  • ARMA processes
  • Box-Jenkins methodology
  • Forecasting in econometrics
• Multivariate time series analysis
  • Vector autoregressive (VAR) models
  • Block significance and causality tests
  • Impulse responses and variance decompositions

Cointegration and volatility modeling

• Cointegration: Modelling long-run financial behavior
  • Stationarity and unit root testing
  • Cointegration
  • Error correction models
  • Testing for cointegration
  • Parameter estimation in cointegrated systems
• Modeling volatility: GARCH models
  • Models for volatility
  • Autoregressive conditionally heteroscedastic (ARCH) models
  • Generalized ARCH (GARCH) models
  • Estimation of GARCH models

Information search strategies

• Search strategies
• Literature review articles
• Evaluation of sources