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# Financial and Time Series Econometrics - ECO00055H

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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: 2023-24

## 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

• None

### Prohibited combinations

Prerequisite modules: Econometric Theory, [For Department of Mathematics Student: Statistics I (MAT00010I) and Linear Algebra (MAT00008I)]

Prohibited Combination: Applied Econometrics

## Module will run

Occurrence Teaching cycle
A Semester 1 2023-24

## 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

## Module content

Techniques will include: ARMA models for scalar time series, unit root testing and cointegration, ARCH models.

Topics will include: the theoretical and empirical investigation of market returns; the use of (G)ARCH models for the evaluation of the Value at Risk of a portfolio; the evaluation of the information content in the term structure of interest rates for the purpose of forecasting future short term rates; one-factor and multi-factor models of asset returns; principal component analysis with applications to portfolio returns modeling and risk assessment.

## Assessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Financial and Time Series Econometrics
2 hours 90
Essay/coursework
Financial and Time Series Econometrics 1
N/A 5
Essay/coursework
Financial and Time Series Econometrics 2
N/A 5

None

### Reassessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Financial and Time Series Econometrics
N/A 90

## Module feedback

Marking and feedback within twenty-five working days of the coursework assignment.

Marking and cohort feedback within twenty-five working days of the 2-hour unseen examination.

The course material will be based (selectively) on the following texts:

Hamilton, J. (1994). Time Series Analysis. Princeton University Press.

Carol Alexander (2008) Vol I, Quantitative Methods in Finance. Wiley, UK.

Carol Alexander (2008) Vol II, Practical Financial Econometrics. Wiley, UK.

Additional learning material will be made available as the course progresses. (This too will be part of the syllabus.)

Other recommended texts include:

Brockwell, P.J. & Davis, R. (2002). Introduction to Time Series and Forecasting. Springer.

Brooks, C. (2008). Introductory Econometrics for Finance. 2nd ed. CUP.

Cuthbertson, K. & Nitzsche, D. (2005). Quantitative Financial Economics. Wiley.

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.