Department of Economics & International Development, Unit Catalogue 2008/09 |
EC50162 Financial econometrics II |
| Credits: 6 |
| Level: Masters |
| Semester: 2 |
| Assessment: CW 30%, EX 70% |
| Requisites: |
| In taking this unit you cannot take EC50119 and before taking this unit you must take EC50161 or take EC50118 |
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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. |