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.
- 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
- 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
This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.