Department of Economics & International Development, Unit Catalogue 2006/07

EC50162 Financial econometrics II

Credits: 6

Level: Masters

Semester: 2

Assessment: EX70CW30

Requisites:

In taking this unit you cannot take EC50119

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.

University | Catalogues for 2006/07