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ES50061: Financial econometrics

Follow this link for further information on academic years Academic Year: 2012/3
Follow this link for further information on owning departmentsOwning Department/School: Department of Economics
Follow this link for further information on credits Credits: 6
Follow this link for further information on unit levels Level: Masters UG & PG (FHEQ level 7)
Follow this link for further information on period slots Period: Semester 2
Follow this link for further information on unit assessment Assessment: CW 30%, EX 70%
Follow this link for further information on supplementary assessment Supplementary Assessment: ES50061A - Resit Exam (where allowed by programme regulations)
Follow this link for further information on unit rules Requisites: Before taking this unit you must take ES50060 or in taking this unit you cannot take ES50051
Follow this link for further information on unit content 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 economics and finance, and;
b) Conduct their own comprehensive investigations over a range of economic and financial relationships.

Learning Outcomes:
At the end of the unit students will be expected to be able to:
a) Use and develop aspects of the dynamic regression model.
b) Use the recommended econometric software to undertake their own empirical investigation.
c) Analyse and reflect on empirical results derived using the econometric software.
d) 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.
Dynamic panels and panel unit root testing.
ARCH and Multivariate GARCH models.
Follow this link for further information on programme availabilityProgramme availability:

ES50061 is a Designated Essential Unit on the following programmes:

School of Management

ES50061 is Compulsory on the following programmes:

Department of Economics
Notes:
* This unit catalogue is applicable for the 2012/13 academic year only. Students continuing their studies into 2013/14 and beyond should not assume that this unit will be available in future years in the format displayed here for 2012/13.
* Programmes and units are subject to change at any time, in accordance with normal University procedures.
* Availability of units will be subject to constraints such as staff availability, minimum and maximum group sizes, and timetabling factors as well as a student's ability to meet any pre-requisite rules.