- Student Records
Programme & Unit Catalogues

Department of Economics, Unit Catalogue 2011/12


ES50061: Financial econometrics

Click here for further information Credits: 6
Click here for further information Level: Masters UG & PG (FHEQ level 7)
Click here for further information Period: Semester 2
Click here for further information Assessment: CW 30%, EX 70%
Click here for further information Supplementary Assessment: ES50061A - Resit Exam (where allowed by programme regulations)
Click here for further information Requisites: Before taking this unit you must take ES50060 or in taking this unit you cannot take ES50051
Click here for further information 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.
Click here for further informationProgramme availability:

ES50061 is a Designated Essential Unit on the following programmes:

School of Management

ES50061 is Compulsory on the following programmes:

Department of Economics
NB. Programmes and units are subject to change at any time, in accordance with normal University procedures.