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

Postgraduate Handbook 2019-2020 (archived)

Module ECON42115: FINANCIAL MODELLING AND BUSINESS FORECASTING

Department: Economics and Finance

ECON42115: FINANCIAL MODELLING AND BUSINESS FORECASTING

Type	Level	Credits	Availability	Module Cap	Location
Tied	4	15	Available in 2019/2020		Durham

Tied To

Pre-requisites

None

Corequisites

Econometric Methods

Excluded Combinations

Microeconometrics

Aims

to build upon the knowledge gained in Econometrics I and provide students with the specific advanced technical skills necessary to understand the latest techniques employed by financial econometricians;
to provide students with the most recent tools required to analyse and predict financial markets.

Content

The statistical properties of univariate time series models and their application in Finance;
Models of nonstationary time series;
Cointegration and error-correction model
Cointegration in multivariate systems;
Modelling volatility;
Future topics on ARCH;
Forecasting in financial econometrics.

Learning Outcomes

Subject-specific Knowledge

have an advanced knowledge of the principles and methods of modern financial econometrics;
have extended and deepened their understanding of Econometrics gained in Econometrics I, and improved their critical judgement and discrimination in the choice of techniques applicable to complex situations;
have extended their understanding of the application of econometric methods and interpretation of the results at an advanced level;
have extended their understanding of the use of econometric tools to conduct advanced empirical investigations into complex specialised issues.

Subject-specific Skills

have further practised problem solving skills at an advanced level and the use of econometric software.

Key Skills

Written Communication;
Planning, Organising and Time Management;
Problem Solvning and Analysis;
Using Initiative;
Numeracy;
Computer Literacy.

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

A combination of lectures, classes and guided reading will contribute to achieving the aims and learning outcomes of this module. The summative written project will test students' ability to apply advanced econometric methods and tools in order to conduct their own empirical investigation.

Teaching Methods and Learning Hours

Activity	Number	Frequency	Duration	Total Hours	Attendance Monitored
Lectures	9	1 per week	2 hours	18
Seminars	4	1 per fortnight	1 hour	4	Yes
Computer classes	4		1 hour	4	Yes
Preparation & Reading				124
Total				150

Summative Assessment

Component	Component Weighting	Element	Length/Duration	Element Weighting	Resit Opportunity
Project	100%	Project	2,500 words (maximum)	100%

Formative Assessment

Work prepared by students for seminars; answers to questions either discussed during a seminar, or posted on DUO; feedback on discussions with teaching staff during consultation hours, or via e-mail.

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.