This is an archived handbook for a previous year. The current undergraduate and postgraduate handbooks can be viewed using the links above.

Undergraduate Handbook 2005-2006 (archived)

Module ECOS3221: FINANCIAL ECONOMETRICS

Department: ECONOMICS FINANCE AND BUSINESS (BUSINESS FINANCE) [Queen's Campus, Stockton]

ECOS3221: FINANCIAL ECONOMETRICS

Type	Level	Credits	Availability	Module Cap	Location
Tied	3	20	Available in 2005/2006	None.	Queen's Campus Stockton

Tied To

N3T9: (programme not found)
N420: Business Finance

Pre-requisites

All compulsory Level 1 and Level 2 Business Finance modules.

Corequisites

All compulsory Level 3 modules.

Excluded Combinations

None.

Aims

This module aims to provide students with a rigorous grounding in financial econometrics.
encourage students to critically appraise work in this area and to facilitate students' analytical skills.

Content

The content of this module will investigate contemporaneous financial econometric tools.
The following is an indication of the material covered: Introduction and Review of the General Linear Regression Model.
Stationarity Time Series Processes (ARIMA Modelling).
Non-Stationarity and Unit Root Tests.
The Engle and Granger Cointegration Procedure.
Johansen's Cointegrating VAR Analysis.
Conditional Heteroscedasticity Models.
Generalised Methods of Movements Estimation.

Learning Outcomes

Subject-specific Knowledge

Have become familiar with econometric tools employed in Finance
Be able apply and interpret econometric techniques

Subject-specific Skills

Be able to implement and interpret statistical tests to discriminate between stationary and non-stationary time series and to be able to model the series appropriately
Be able to implement and interpret statistical tests to determine the presence of contegration between pairs of non-stationary time series and be able to model the series appropriately
Be able to appropriately model time series which display significant time variation in conditional variance.

Key Skills

Written communication, via summative assessment.
Planning and Organising - e.g. by observing the assignment deadlines
Problem solving, via understanding the technical problems assessed by summative work, as well as the analytical and quantitative skills of econometrics.
Initiative, in searching the relevant literature, for the summative assignment
Numeracy, required for understanding and applying the mathematical and statistical tools that underpin econometric analysis.
IT skills, via usage of econometric software for the statistical analysis of data, and word-processing, required for the presentation of the summative assignment.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

Teaching is by lectures, tutorials and support for student-centred learning. Learning takes place through attendance at lectures, preparation for and participation in tutorial classes and private study (inlcuding student-centred learning). Formative assessment is by means of one piece of written work of 1500 words. Summative assessment is by means of one 5000 word written project.

Teaching Methods and Learning Hours

Activity	Number	Frequency	Duration	Total Hours
Lectures	22	1 Per Week	1 Hour	22
Tutorials	6	3 Computer Tutorials in Each of the First Two Terms	1 Hour	6
Seminars	8	4 in Each of the First Two Terms	1 Hour	8
Preparation and Reading				164
Total				200

Summative Assessment

Component	Component Weighting	Element	Length/Duration	Element Weighting	Resit Opportunity
Project	100%	5000 word written project		100%

Formative Assessment

1500 word essay.

Students who do not attend monitored activities shown under Teaching Methods and Learning Hours, or who fail to complete the summative or formative assessment(s) specified above, may be subject to the Academic Progress procedures defined in the University's General Regulation V, and may be required to leave the University.