Department of Economics, Unit Catalogue 2009/10 |
ES50061: Financial econometrics II (formerly EC50162) |
 Credits:
| 6 |
| Level:
| Masters |
| Period: | Semester 2 |
| Assessment:
| CW 30%, EX 70% |
| Supplementary Assessment: | Like-for-like reassessment (where allowed by programme regulations) |
| Requisites:
| Before taking this unit you must take ES50050 or take ES50060 and in taking this unit you cannot take ES50051 |
| Description: | Aims: The unit aims to provide the students with the knowledge and skills necessary to: a) Understand and be critically aware of the findings of the empirical academic literature in the areas of accounting and finance, and; b) Conduct their own comprehensive investigations over a range of accounting and financial relationships. Learning Outcomes: At the end of the unit students will be expected to be able to: * Use and develop aspects of the dynamic regression model * Use the recommended econometric software to undertake their own empirical investigation. * Analyse and reflect on empirical results derived using the econometric software. * Develop and test the validity of well established empirical models using a wide range of diagnostic results. Skills: Abstraction and analytic skills (A) Information gathering and Synthesis (A) Use of Information Technology (F/A) Time Management and Planning (A) Numeracy Skills (T/A) Content: The modeling of Time Series Models and Non-stationarity. Cointegration, Vector Autoregression and VECMs. Panel Estimation. Volatility Modelling and ARCH models. |