Financial & Time Series Econometrics - ECO00029H

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Module summary

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

Related modules

Module will run

Occurrence	Teaching period
A	Autumn Term 2022-23 to Spring Term 2022-23

Module aims

• 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

Indicative assessment

Task	% of module mark
Online Exam -less than 24hrs (Centrally scheduled)	100

Special assessment rules

None

Indicative reassessment

Task	% of module mark
Online Exam -less than 24hrs (Centrally scheduled)	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.