Undergraduate Programme and Module Handbook 2022-2023 (archived)
Module ECON2181: INTRODUCTION TO FINANCIAL ECONOMETRICS
Department: Economics
ECON2181:
INTRODUCTION TO FINANCIAL ECONOMETRICS
Type |
Tied |
Level |
2 |
Credits |
20 |
Availability |
Available in 2022/23 |
Module Cap |
None. |
Location |
Durham
|
Tied to |
NN43 |
Tied to |
N302 |
Tied to |
N304 |
Tied to |
N305 |
Tied to |
N306 |
Tied to |
N307 |
Prerequisites
Corequisites
Excluded Combination of Modules
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 an assignment and a multiple choice test.
- Summative assessment is by means of a written examination and a written assignment.
Teaching Methods and Learning Hours
Activity |
Number |
Frequency |
Duration |
Total/Hours |
|
Lectures |
20 |
weekly |
2 hrs |
40 |
|
Revision Lectures |
2 |
2 in Term 3 |
2 hrs |
4 |
|
Workshops |
8 |
fortnightly |
1 hr |
8 |
■ |
Computer labs |
8 |
|
1 hour |
8 |
|
Preparation and Reading |
|
|
|
140 |
|
Total |
|
|
|
200 |
|
Summative Assessment
Component: Examination |
Component Weighting: 60% |
Element |
Length / duration |
Element Weighting |
Resit Opportunity |
One written examination |
2 hours |
100% |
same |
Component: Assignment |
Component Weighting: 40% |
Element |
Length / duration |
Element Weighting |
Resit Opportunity |
One written assignment |
1500 words max |
100% |
same |
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