Module FINN3091: Financial Econometrics 2

Department: Finance

FINN3091: Financial Econometrics 2

Prerequisites

• Financial Econometrics 1 (FINN2031)

Corequisites

• None

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

• Content of this module will investigate contemporaneous financial econometric tools and adapts to changing approaches in this area.
• Regression with Panel Data
• Linear time series models and forecasting.
• Types of trend, integrated time series and unit root processes.
• Models with multiple time series and the presence of common trends.
• Volatility modelling and forecasting.
• Non-linear time series modelling and financial data analysis.
• Advanced topics in time series modelling.

Learning Outcomes

• Have become familiar with econometric tools employed in financial research and practice.
• Be able to apply and interpret advanced 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 - 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 and practicals. Learning takes place through attendance at lectures, preparation for, and participation in, practical classes in addition to private study.
• Formative assessment is by means of an essay.
• Summative assessment is by means of a written assignment. In the assignment students are required to collect appropriate historical data to implement the techniques covered within the module and provide a comprehensive narrative and analysis that demonstrates critical thinking on those topics and results.

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