The aim of the module is to introduce advanced econometric techniques that are used both in the applied literature and in the professional analysis of economic or financial data and to provide critical empirical discussion of some important financial models
To introduce advanced econometric techniques that are used both in the applied literature and in the professional analysis of economic or financial data.
To provide critical empirical discussion of some important financial models
Module learning outcomes
Have a working knowledge of the main models for analysing a stationary or nonstationary time series
Read empirical macro and financial literature
Apply econometric methods for time series using standard software (EViews)
Use the information in the term structure of interest rates to forecast future rates
Evaluate market efficiency and the scope for higher than market profits, and estimate the Value at Risk of a portfolio
Model and analyse asset returns using one-factor and multi-factor models
Apply principal component analysis to model portfolio returns and analyse portfolio risk
Assessment
Task
Length
% of module mark
Online Exam -less than 24hrs (Centrally scheduled) Financial & Time Series Econometrics
2 hours
100
Special assessment rules
None
Reassessment
Task
Length
% of module mark
Online Exam -less than 24hrs (Centrally scheduled) Financial & Time Series Econometrics
2 hours
100
Module feedback
Feedback will be made available according to University guidelines.
Indicative reading
Alexander, C. (2008) Vol I, Quantitative Methods in Finance. Wiley, UK.
Alexander, C. (2008) Vol II, Practical Financial Econometrics. Wiley, UK.
Cuthbertson, K. and Nitzsche, D. (2004), Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange. Wiley, UK.
Hamilton, J.D. (1994), Time Series Analysis. Princeton University Press.