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IESEG School of Management ( IÉSEG )

Code Cours :



Niveau Année de formation Période Langue d'enseignement 
MSc in Investment Banking and Capital Markets1S1English
Professeur(s) responsable(s)J.LEFEBVRE
Intervenant(s)Jérémie LEFEBVRE

Pré requis

Students should have studied: elementary probability concepts; expectation and variance of a random variable; the main distributions (Gaussian, Student, chi-square); statistical concepts such as mean, correlation, standard deviation; hypothesis testing (using t statistic, p-value and confidence interval).

Objectifs du cours

At the end of the course, the student should be able to:
-Conduct an empirical financial analysis: specifying, estimating and interpreting (statistically and economically) the output of a regression model (AACSB Learning Goal).
-Take into account specificities of times series data (especially non-stationarity and autocorrelation) in an empirical financial analysis.

Contenu du cours

The following topics will be studied on the basis of applications and case studies:
-Multiple linear regression: assumptions and their violations, dummy variable, model specification
-Times series analysis: trend models, time series dependence models, random walks and unit roots, seasonality.

Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class12,00  
Independent work
Reference manual 's readings15,00  
Independent study
Group Project18,00  
Estimated personal workload18,00  
Charge de travail globale de l'étudiant75,00  

Méthodes pédagogiques

  • Tutorial
  • E-learning
  • Interactive class
  • Case study


The evaluation ofthe course will be based on homework to do at home (solving exercises), case studies done in teams using a computer, and a final exam.

Type de ContrôleDuréeNombrePondération
Final Exam
Written exam2,00135,00
Case study0,00250,00
Written Report0,00315,00
TOTAL     100,00


  • DeFusco, McLeavy, Pinto, Runkle, 2016, Quantitative Investment Analysis, 3rd Edition, Wiley. -

Ressources internet

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