[major=BBA_FIN | course_id=RMB302 | syllabus_id=11438 | semester=5 | combo=core | title=Research Methods & Quantitative Analysis]
Course ID: RMB302
Title EN: Research Methods & Quantitative Analysis
Title VI: Phương pháp nghiên cứu và phân tích định lượng
Credits: 3.0
Prerequisites: MAS202
Description: This module provides students with an understanding of the quantitative methods for finance and investment and assists their thesis writing. This includes the ability to formulate problems into quantitative models, to aid the successful resolution of the problem. Students will learn how to apply statistical methods to analyze past data and make forecast on future trends. Using output from mathematical and statistical models, students will learn to analyze, interpret and derive potential outcomes from financial information. Topics covered include financial data collection, probability, sampling, panel regression, time series analyses, and decision tree. Teaching method is flexible. Lecturers and tutors can mix between traditional teaching method with project-based learning, problem-based learning and flipped classroom.
Student tasks: - Students must attend at least 80% of contact slots in order to be accepted to the final examination.
- Student is responsible to do all exercises, assignments given by instructors in class or at home and submit on time
- Use laptop in class only for learning purpose
- Promptly access to the FU CMS at http://flm.fpt.edu.vn for up-to-date course information
Tools: - Textbook and all learning materials provided on CMS
- Internet and a statistical computer package
Course type: traditional
Decision: 402/QĐ-ĐHFPT dated 04/22/2024
Approved date: 2024-04-22
CLO1: Understand the econometrics methods necessary for doing empirical analysis in business, particularly in finance
[1] category=Essay test; type=on-going; weight=20.0; duration=60'; question_type=LO1, LO2, LO3, LO4, LO6, LO7; grading_guide=Integration of studied knowledge and skills of all chapters; completion_criteria=; clos=>0
[2] category=Group assignment; type=on-going; weight=15.0; duration=During the semester; question_type=All LO; grading_guide=Comprehensive reading, understanding issues, presenting problems,
Personal qualities: Individual responsibility, self-esteem, sociability, self-management, and integrity.
Cover all studied chapters; completion_criteria=; clos=>0
[3] category=Individual assignment; type=on-going; weight=10.0; duration=During the semester; question_type=All LO; grading_guide=Comprehensive reading, understanding issues, presenting problems,
Personal qualities: Individual responsibility, self-esteem, sociability, self-management, and integrity.
Cover all studied chapters; completion_criteria=; clos=>0
[4] category=Mid-term exam; type=on-going; weight=15.0; duration=; question_type=LO1, LO2, LO3, LO4, LO6, LO7; grading_guide=- Integration of studied knowledge and skills of all chapters from chapter 0 to chapter 9; completion_criteria=; clos=>0
[5] category=Quiz; type=on-going; weight=10.0; duration=30'; question_type=LO1, LO2, LO3, LO4, LO7; grading_guide=- Integration of studied knowledge and skills of chapters assigned- Quiz 1: cover chapter 1-5- Quiz 2: cover chapters 11, 12 and 14; completion_criteria=; clos=>0
[6] category=Final exam; type=Final exam; weight=30.0; duration=80'; question_type=All LO; grading_guide=All topics, knowledge, skills covered in the classes; completion_criteria=; clos=4
[1] desc=Introductory econometrics for finance; author=Chris Brooks; publisher=Pearson; edition=4th; isbn=; main=True; online=; note=
[2] desc=Introductory econometrics: A modern approach; author=Jeffrey M. Wooldridge; publisher=South-Western Cengage learning; edition=5th or newer; isbn=; main=; online=; note=
Session 1: Course Introduction
Review of statistic basis
Chapter 1 Introduction and Mathematical Foundation
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read syllabus
- Read Chapter 1 and 2
- Read slides: Chapter 1 and 2
Materials: RMB302
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excersies in Chapter 1.

Session 2: Chapter 2 Defining and collecting data
Probability and probability distributions
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read slide: Chapter 1 and 2
Materials: RMB302
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 1 and 2. Additional reading following chapter

Session 3: Review of statistic basis
Chapter 2 Defining and collecting data (cont)
Descriptive Statistics
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read slide: Chapter 1 and 2
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 1 and 2. Additional reading following chapter

Session 4: Chapter 2 Defining and collecting data (cont)
Types of Data and Data Aggregation
Solve questions and problems for chapter 1 and 2
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 2
- Read Chapter 2
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excersies in Chapter 3.
CLO2: Understand underlying assumptions of different econometrics models
Session 1: Chapter 3 Brief Overview of the classical linear regression model
What is a regression model
Regression versus correlation
Simple regression
The assumptions underlying the model
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 2
- Read Chapter 2
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excersies in Chapter 3.

Session 2: Chapter 3 Brief Overview of the classical linear regression model (cont)
Properties of the OLS estimator
Precision and Standard Errors
An Introduction to Statistical inference
A special type of hypothesis test
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read slide: Chapter 3
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 3. Additional reading following chapter

Session 3: Tutorial
Solve questions and problems for chapter 3
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read slide: Chapter 3
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 3. Additional reading following chapter

Session 4: Individual assignment release
Group assignment release
Topic: Offline; Teaching type: ; LO: 
ITU:
CLO3: Be able to identify the advantages and disadvantages of various methods and techniques and choose appropriate methods for specific datasets
Session 1: Chapter 4 Further development and analysis of the classical linear regression model
Generalising the simple model
The constant term
How are the parameters calculated?
Testing multiple hypotheses: the F-test
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 4
- Read slides: Chapter 4
- Assignment guidelines
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 4. Additional reading following chapter

Session 2: Chapter 4 Further development and analysis of the classical linear regression model (cont)
Data mining and the true size of the test
Qualitative variables
Goodness of fit statistics
Quantile regression
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 4
- Read slides: Chapter 4
- Assignment guidelines
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 4. Additional reading following chapter

Session 3: Tutorial:
Solve questions and problems for chapter 4
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read Chapter 4
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 4. Additional reading following chapter

Session 4: Chapter 5 Classical linear regression model assumptions and diagnostic tests
Statistical distribution for diagnostic tests
Assumptions
Multicollinearity
Adopting the wrong function form
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 5
- Read slides: Chapter 5
Download: Review and do excercises Chapter 5
CLO4: Ulitize common statistical packages to conduct empirical research
Session 1: Chapter 5 Classical linear regression model assumptions and diagnostic tests (cont)
Omission of an important variable
Inclusion of an irrelevant variable
Parameter stability tests
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 5
- Read slides: Chapter 5
Download: Review and do excercises Chapter 5

Session 2: Chapter 5 Classical linear regression model assumptions and diagnostic tests (cont)
Measurement errors
A strategy for constructing econometrics models
Topic: Offline; Teaching type: ; LO: 
ITU: 

Session 3: Tutorial: Solve chapter 5 questions and problems
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 5
- Read Chapter 5
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 5.

Session 4: Quiz 1: Chapter 1, 2, 3, 4, 5
Tutorial
Introduce to statistical software packages
Guide to use a statistical package
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Review Chapter 1-5
- Read Chapter 1-5
Download: https://flm.fpt.edu.vn/gui/role/student/Practise to get used to the software and be able to conduct analysis. Additional reading following chapter
CLO5: Be able to conduct, interpret and critically deal with empirical studies in finance and related fields
Session 1: Chapter 6 Univariate time-series modeling and forecasting
Some notation and concepts
Moving average processes
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Review Chapter 1-5
- Read slides Chapter 6
- Read Chapter 6
Download: Review and do excercises Chapter 6

Session 2: Chapter 6 Univariate time-series modeling and forecasting (cont)
Autoregressive processes
The Partial autocorrelation function
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Review Chapter 1-5
- Read slides Chapter 6
- Read Chapter 6
Download: Review and do excercises Chapter 6

Session 3: Chapter 6 Univariate time-series modeling and forecasting (cont)
ARMA processes
Exponential smoothing
Forecasting
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Review Chapter 1-5
- Read slides Chapter 6
- Read Chapter 6
Download: Review and do excercises Chapter 6

Session 4: Tutorial
Solve questions and problems for chapter 6
Guide to use a statistical package
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read Chapter 6
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 6. Additional reading following chapter
CLO6: Be able to work in a team or individually in making business decisions based on quantitative analysis; present one's self decisions.
Session 1: Chapter 7 Multivariate Models
Simultaneous equations bias
How can simultaneous equations models be validly estimated?
Can the original coefficients be retrieved from the π ѕ?
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 7
- Read Chapter 7
Download: Review and do excercises Chapter 7

Session 2: Chapter 7 Multivariate Models (cont)
A definition of exogeneity
Estimation procedures for Simultaneous equations systems
Vector autoregressive models
Does the VAR include contemporaneous Terms
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 7
- Read Chapter 7
Download: Review and do excercises Chapter 7

Session 3: Chapter 7 Multivariate Models (cont)
Blocks significance and causality tests
VAR with exogenous variables
Impulse responses and Variance decompositions
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 7
- Read Chapter 7
Download: Review and do excercises Chapter 7

Session 4: Tutorial
Solve questions and problems for chapter 7
Guide to use a statistical package
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read Chapter 7
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 7. Additional reading following chapter
CLO7: Apply tools and knowledge to define, design and deliver an academically rigorous piece of research
Session 1: Chapter 8 Modelling long-run relationships in finance
Stationary and Unit root testing
Cointegration
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 8
- Read slides: Chapter 8

Session 2: Chapter 8 Modelling long-run relationships in finance (cont)
Equilibrium correction or error correction models
Testing for cointegration in regression: a residuals-based approach
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 8
- Read slides: Chapter 8

Session 3: Chapter 8 Modelling long-run relationships in finance (cont)
Equilibrium correction or error correction models
Testing for cointegration in regression: a residuals-based approach
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 8
- Read slides: Chapter 8

Session 4: Tutorial Solve question and problems of chapter 8
Guide to use a statistical package
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read Chapter 8
Download: Review and do excercises Chapter 8
CLO8: Show awareness of statistical errors and understand of being ethical when conducting quantitative research
Session 1: Chapter 9 Modelling volatility and correlation
Models of volatility
Exponentially weighted moving average models
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read textbook and slides: Chapter 9
Download: Review and do excercises Chapter 9

Session 2: Chapter 9 Modelling volatility and correlation (cont)
Autoregressive volatility models
Autoregressive conditionally heteroscedastics(ARCH) models
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read textbook and slides: Chapter 9
Download: Review and do excercises Chapter 9

Session 3: Chapter 9 Modelling volatility and correlation (cont)
GARCH models (EGARCH, basic GARCH)
Testing non-linear regression
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read textbook and slides: Chapter 9
Download: Review and do excercises Chapter 9

Session 4: Chapter 9 Modelling volatility and correlation (cont)
Forecasting covariances and correlations
Simple covariance models
Dirrect correlation models
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read textbook and slides: Chapter 9
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 9.
Session 1: Chapter 9 Modelling volatility and correlation (cont)
Testing non-linear regression
Forecasting covariances and correlations
Simple covariance models
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read textbook and slides: Chapter 9
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 9.

Session 2: Chapter 9 Modelling volatility and correlation (cont)
Dirrect correlation models
Tutorial
Solve questions and problems for chapter 9
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read textbook and slides: Chapter 9
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 9.

Session 3: Guide to use a statistical package
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read Chapter 9
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 9. Review all chapters covered so far.

Session 4: Mid-term exam
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4, LO5, LO8; LO: 
ITU: -Review chapters covered so far
Download: https://flm.fpt.edu.vn/gui/role/student/Prepare and attend the exam. Additional reading following chapter
Session 1: Chapter 11 Panel data
Introduction of panel techniques
What panel techniques are available
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 11
- Read Chapter 11
Download: Review and do excercises Chapter 11

Session 2: Chapter 11 Panel data (cont)
The fixed effects model
Time-fixed effects models
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 11
- Read Chapter 11
Download: Review and do excercises Chapter 11

Session 3: Chapter 11 Panel data (cont)
Investigating Banking Competition
The random effects model
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 11
- Read Chapter 11
Download: Review and do excercises Chapter 11

Session 4: Chapter 11 Panel data (cont)
Panel Data Application to Credit Stability of Banks
Panel unit root and cointegration tests
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read slides Chapter 11
- Read Chapter 11
Download: Review and do excercises Chapter 11
Session 1: Tutorial
Solve questions and problems for chapter 11
Guide to use a statistical package
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read Chapter 11
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 11. Additional reading following chapter

Session 2: Chapter 12 Limited Dependent Variable Models
The linear probability model
The logit model
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read Chapter 12
- Read slides of Chapter 12
Download: Review and do excercises Chapter 12

Session 3: Chapter 12 Limited Dependent Variable Models (cont)
The linear probability model
The logit model
The probit model
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read Chapter 12
- Read slides of Chapter 12
Download: Review and do excercises Chapter 12

Session 4: Chapter 12 Limited Dependent Variable Models (cont)
Choosing between the logit and probit models
Goodness of fit measures for linear dependent variable models
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read Chapter 12
- Read slides of Chapter 12
Download: Review and do excercises Chapter 12
Session 1: Tutorial
Solve questions and problems for chapter 12
Guide to use a statistical package
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read Chapter 12
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 12. Read in advance for the next lecture

Session 2: Chapter 14 Additional econometrics techniques for financial research
Even study
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 14
- Read slides: Chapter 14
Download: Review and do excercises Chapter 14

Session 3: Chapter 14 Additional econometrics techniques for financial research (cont)
Tests of the CAPM and the Fama-French methodology
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 14
- Read slides: Chapter 14
Download: Review and do excercises Chapter 14

Session 4: Chapter 14 Additional econometrics techniques for financial research (cont)
Extreme Value Theory
The Generalised Method of Moments
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Read chapter 14
- Read slides: Chapter 14
Download: Review and do excercises Chapter 14
Session 1: Tutorial
Solve questions and problems for chapter 14
Guide to use a statistical package
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: Read Chapter 14
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 14. Additional reading following chapter

Session 2: Quiz 2: Chapter 11, Chapter 12, and Chapter 14
Topic: Offline; Teaching type: ; LO: 
ITU: 

Session 3: Chapter 15 Conducting Empirical research or doing a project or dissertation in finance
What is an empirical research project
Selecting the topic
The research proposal
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Review from chapter 11 - 14
- Read Slides Chapter 15
- Read Chapter 15
Download: Review and do excercises Chapter 15

Session 4: Chapter 15 Conducting Empirical research or doing a project or dissertation in finance (cont)
Working papers and literature on the Internet
Getting the data
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Review from chapter 11 - 14
- Read Slides Chapter 15
- Read Chapter 15
Download: Review and do excercises Chapter 15
Session 1: Chapter 15 Conducting Empirical research or doing a project or dissertation in finance (cont)
Choice of computer software
Methodology
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4; LO: 
ITU: - Review from chapter 11 - 14
- Read Slides Chapter 15
- Read Chapter 15
Download: Review and do excercises Chapter 15

Session 2: Tutorial
Consulting to choose research topics
Guide to use a statistical package
Topic: Offline; Teaching type: LO1, LO2, LO3, LO4, LO7, LO8; LO: 
ITU: Read Chapter 15
Download: https://flm.fpt.edu.vn/gui/role/student/Review and do excercises Chapter 15.Group assignment report submissionIndividual assignment submission

Session 3: Group assignment presentations
Topic: Offline; Teaching type: All LOs; LO: 
ITU: Prepare for Q&A
Download: Review all chapters

Session 4: Group assignment presentations
Topic: Offline; Teaching type: All LOs; LO: 
ITU: Prepare for Q&A
Download: Review all chapters
Session 1: Group assignment presentations
Topic: Offline; Teaching type: All LOs; LO: 
ITU: Prepare for Q&A
Download: Review all chapters

Session 2: Group assignment presentations
Topic: Offline; Teaching type: All LOs; LO: 
ITU: Prepare for Q&A
Download: Review all chapters

Session 3: Group assignment presentations
Topic: Offline; Teaching type: All LOs; LO: 
ITU: Prepare for Q&A
Download: Review all chapters

Session 4: Essay tests Revision and Wrap-up
Topic: Offline; Teaching type: All LOs; LO: 
ITU: Review all chapters
Download: Review all chapters