UEH Standard Programs

Financial Econometrics

Tiếng Việt

M00266

3

Môn học này nhằm trang bị cho người học kiến thức phân tích định lượng nâng cao trong lĩnh vực tài chính bao gồm phân tích sự kiện sử dụng hồi quy dữ liệu bảng, phân tích chuỗi thời gian phi tuyến, mô hình hóa bất ổn trong phân tích chuỗi thời gian, và dự báo./ This course aims to equip students with advanced quantitative analysis knowledge in the field of finance, including event analysis using panel data regression, non-linear time series analysis, volatility modelling in time series analysis, and forecasting.

The Econometrics for Finance course supplements students' knowledge of quantitative research in finance, enabling them to understand and apply regression analysis techniques to various research models, especially time series analysis techniques. In addition to equipping students with advanced estimation techniques to address endogeneity issues when performing regressions using panel data, deal with sample selection bias, and conduct event studies, the course also introduces techniques for modeling volatility in nonlinear time series, analyzing Markov switching models, and applying other nonlinear time series analysis methods to financial research.

This course also aims to equip students with practical quantitative techniques to support financial decision-making in the real world, including techniques for analyzing financial data using real-time data to value financial assets and forecast important financial variables in the fields of financial investment, corporate finance, international finance, and risk management. The various econometric models discussed in this course have many practical applications in the fields of economics and finance, whether students plan to apply them in business or academic research.