Module FINN3091: Financial Econometrics 2

Department: Finance

FINN3091: Financial Econometrics 2

Tied To

• N302: Accounting and Finance with Placement Year
• N304: Accounting and Finance with Study Abroad
• N305: Finance
• N306: Finance with Placement Year
• N307: Finance with Study Abroad
• N311: Accounting and Finance
• N312: Accounting and Finance with Placement Year
• N313: Accounting and Finance with Study Abroad
• NN43: Accounting and Finance

Pre-requisites

Corequisites

Excluded Combinations

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 trends, 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 cointegration 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 preparing for seminars and 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 seminars. Learning takes place through attendance at lectures, preparation for, and participation in, seminars in addition to private study.
• Formative assessment is by means of a formative assignment, which allows students to develop their understanding and skills and to receive feedback on their learning progress.
• Summative assessment is by means of a written assignment.

Teaching Methods and Learning Hours

Summative Assessment

Formative Assessment

1500 word formative assignment