Module ECOS3221: FINANCIAL ECONOMETRICS

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

ECOS3221: FINANCIAL ECONOMETRICS

Prerequisites

• All compulsory Level 1 and Level 2 modules, and Introduction to Financial Econometrics.

Corequisites

• All compulsory Level 3 modules.

Excluded Combination of Modules

• 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

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

• 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.

• 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, seminars and support for student-centred learning. Learning takes place through attendance at lectures, preparation for and participation in tutorial classes, seminars and private study (inlcuding student-centred learning). Formative assessment is by means of a 1500 word essay. Summative assessment is by means of one written assignment of 4500 words.

Teaching Methods and Learning Hours

Summative Assessment

Formative Assessment:

1500 word essay.

■ Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University