Module ECOS2161: INTRODUCTION TO FINANCIAL ECONOMETRICS

Department: Economics, Finance and Business (Economics and Finance) [Queen's Campus, Stockton]

ECOS2161: INTRODUCTION TO FINANCIAL ECONOMETRICS

Prerequisites

• None

Corequisites

• None

Excluded Combination of Modules

• None

Aims

• To develop knowledge and understanding of key issues and concepts in Financial Econometrics.
• To equip students with the skills required to appreciate the applied literature in business finance, to undertake an applied financial econometrics project and to prepare students for Financial Econometrics at higher levels.
• To offer the opportunity to develop key skills.

Content

• Review of Statistics: random variables, probability distributions and statistical inference.
• Bivariate (OLS) regression and multivariate regression: estimation and inference.
• A consideration of the breakdown of some of the assumptions of the Classical Linear Regression Model: heteroscedasticity and module specification.
• An introduction to time series econometrics.
• Stationarity and testing for unit roots.
• Introduction to Box-Jenkins approach to modelling time series.
• Measuring volatility: ARCH and GARCH models.

Learning Outcomes

• Have knowledge and understanding of the key theoretical and practical issues in Financial Econometrics.
• Be able to undertake an applied financial econometrics projects (estimating relationships using an econometric software package).
• Prepare students for the study of Financial Econometrics at higher levels.

• Be able to apply econometric methods to the estimation of financial relationships and to interpret the results.

• Written Communication - by completing the summative assignment
• Planning, Organisation and Time Management- e.g. by preparing for examinations
• Problem solving and Analysis - by applying the necessary analytical and quantitative skills to identify and empirically test theoretical relationships
• Initiative - by collecting information for the summative assignment, searching relevant literature and information in preparation for the summative assignment.
• Numeracy - e.g. by applying an array of core mathematical-statistical skills to answer a range of examination questions;
• Computer Literacy and Information Retrieval - by word-processing the summative assignment and estimating relationships using an econometric software package.

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

• Lectures provide an introduction to the key theoretical and empirical issues.
• Workshops give the students an opportunity to discuss theoretical concepts and empirical examples.
• Computer Laboratories introduce students to econometric software used in preparation of the summative assignment.
• Formative assessment is by means of two assignments.
• Summative assessment is by means of a written examination and a written assignment.

Teaching Methods and Learning Hours

Summative Assessment

Formative Assessment:

One written assessment of 1500 words and a time constrained Multiple Choice Question Test.

■ 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