Financial & Time Series Econometrics - ECO00029H

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  • Department: Economics and Related Studies
  • Module co-ordinator: Dr. Asif Ahmad
  • Credit value: 20 credits
  • Credit level: H
  • Academic year of delivery: 2019-20

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

Module will run

Occurrence Teaching cycle
A Autumn Term 2019-20 to Spring Term 2019-20

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 

Assessment

Task Length % of module mark
University - closed examination
Financial & Time Series Econometrics
2 hours 100

Special assessment rules

None

Reassessment

Task Length % of module mark
University - closed examination
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.



The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.