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2010/1 Module Catalogue
 Module Code: ECOM031 Module Title: FINANCIAL ECONOMETRICS
Module Provider: Economics Short Name: EC677
Level: M Module Co-ordinator: PIERSE RG Mr (Economics)
Number of credits: 15 Number of ECTS credits: 7.5
 
Module Availability

Spring
Assessment Pattern
Unit(s) of Assessment

Weighting Towards Module Mark (%)
2 hour Examination

75
Coursework

25

Qualifying Condition(s)
A weighted aggregated mark of 50% is required to pass the module
Module Overview

This module provides an introduction to the modern econometric techniques used in the analysis of financial time series
Prerequisites/Co-requisites

None
Module Aims

This module provides an introduction to the modern econometric techniques used in the analysis of financial time series
Learning Outcomes

On successful completion of this module you should be able to:

  • Understand and critically evaluate models of asset return processes
  • Build models of ARCH and GARCH processes using appropriate computer software
  • Analyse dynamic models with changes in regime

 Transferable Skills: 

  • Ability to estimate and test models of financial data using standard computer software
  • Preparation for dissertation in using applied financial econometrics

     

 

 

 

 

 

 

 
Module Content

The following is an indication of the likely topics to be covered:-

  • Asset return processes: stationarity, random walks, tests for unit roots
  • Conditional volatility: ARCH, GARCH, GARCH-M and E-GARCH models
  • Stochastic volatility models
  • Estimation and testing of the Capital Asset Pricing Model
  • Long term memory and fractional integration in stock market returns
  • Non-linear models including Markov models of changes in regime

     

     

     

     

     

     

     

     

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    Methods of Teaching/Learning

    Lectures and Tutorials (20 hrs) Classes (10hrs)
    Readings using lecturers guidance
    Preparing exercises for discussion in class 
    Responding to questions in class
    Preparing and producing an applied econometrics assignment as coursework
    Selected Texts/Journals

    Main Texts:
    Cuthbertson, K. Quantitative Finance Economics, Wiley, (latest edition)
    Frances, P,-H. and D. van Dijk Non-linear Time Series Models in Empirical Finance, Cambridge University Press, 2000
    Mills, T. The Econometric Modelling of Financial Time Series, Cambridge University Press, 2008 auxliary texts:
    Campbell, J.Y., A.W. Lo and A.C. Mackinley, The Econometrics of Financial Markets, Princeton University Press, 1996
    Patterson, K. Introduction to Applied Econometrics,Macmillan, 2000
    Tsay, R.S. Analysis of Financial Time Series, Wiley, 2005
    Last Updated

    28 September 2010