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ES50061: Financial econometrics

Follow this link for further information on academic years Academic Year: 2019/0
Further information on owning departmentsOwning Department/School: Department of Economics
Further information on credits Credits: 6      [equivalent to 12 CATS credits]
Further information on notional study hours Notional Study Hours: 120
Further information on unit levels Level: Masters UG & PG (FHEQ level 7)
Further information on teaching periods Period:
Semester 2
Further information on unit assessment Assessment Summary: CW 30%, EX 70%
Further information on unit assessment Assessment Detail:
  • Coursework (CW 30%)
  • Exam (EX 70%)
Further information on supplementary assessment Supplementary Assessment:
Reassessment (where allowed by programme regulations)
Further information on requisites Requisites: Before taking this module you must take ES50060 OR take ES50100
Further information on descriptions 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.
Further information on programme availabilityProgramme availability:

ES50061 is Compulsory on the following programmes:

Department of Economics

ES50061 is Optional (DEU) on the following programmes:

Department of Social & Policy Sciences

ES50061 is Optional on the following programmes:

Department of Economics

Notes: