Competencies and objectives
- Course context for academic year 2023-24
- Course content (verified by ANECA in official undergraduate and Master’s degrees)
- Learning outcomes (Training objectives)
- Specific objectives stated by the academic staff for academic year 2023-24
Course context for academic year 2023-24
This is an optional course on Financial Econometrics in the second year of the Master in Quantitative Economics.
Course content (verified by ANECA in official undergraduate and Master’s degrees)
General Competences (CG)
- CG1 : Capacity to carry out research work.
- CG2 : Capacity to find data (natural and experimental) and analyse it.
- CG3 : Capacity to apply economic theory to represent real situations.
- CG4 : Capacity for teamwork.
- CG5 : Capacity for self-learning.
- CG6 : Ethical commitment and social responsibility at work, respecting the environment, being aware and understanding the importance of respect for fundamental rights, equal opportunities for men and women, universal accessibility for the disabled and respect for the values of a peaceful, democratic society.
- CG7 : Analyse problems using critical reasoning, without prejudice and with precision and rigor.
- CG8 : Capacity for synthesis.
Specific Competences (CE)
- CE1 : Capacity to read Economic research articles in a reasoned fashion and evaluate them critically, understand their essential contributions and weaknesses.
- CE2 : Capacity to understand how the technical problems faced by authors of research articles have been resolved in each case.
- CE3 : Capacity to test theorems and propositions.
- CE4 : Capacity to understand and reproduce empirical analyses and simulation experiments on which the conclusions of research articles written by other authors are based.
- CE5 : Capacity to present important economic problems precisely and respond adequately to said problems by using the techniques learnt on the different courses, using theoretical and empirical analyses or simulations if necessary.
Learning outcomes (Training objectives)
Specific objectives stated by the academic staff for academic year 2023-24
This course mainly focus on market risk models, that is, volatility and correlation forecast models, their implementation and evaluation. We employ the two principal mathematical programming languages, R and Matlab.