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FINN3091: Financial Econometrics 2
Aims
- This module aims to provide students with a rigorous grounding in financial econometrics.
- Encourage students to critically appraise work in this area and to facilitate students' analytical skills.
Content
- Content of this module will investigate contemporaneous financial econometric tools and adapts to changing approaches in this area.
- Linear time series models and forecasting.
- Types of trend, integrated time series and unit root processes.
- Models with multiple time series and the presence of common trends.
- Volatility modelling and forecasting.
- Non-linear time series modelling and financial data analysis.
- Advanced topics in time series modelling.
Learning Outcomes
Subject-specific Knowledge:
- Have become familiar with econometric tools employed in financial research and practice.
- Be able to apply and interpret advanced econometric techniques.
Subject-specific Skills:
- Be able to implement and interpret statistical tests to discriminate between stationary and non-stationary time series and to be able to model the series appropriately .
- Be able to implement and interpret statistical tests to determine the presence of contegration between pairs of non-stationary time series and be able to model the series appropriately.
- Be able to appropriately model time series which display significant time variation in conditional variance.
Key Skills:
- Written communication, via summative assessment.
- Planning and Organising - by observing the assignment deadlines.
- Problem solving, via understanding the technical problems assessed by summative work, as well as the analytical and quantitative skills of econometrics.
- Initiative, in searching the relevant literature, for the summative assignment.
- Numeracy, required for understanding and applying the mathematical and statistical tools that underpin econometric analysis.
- IT skills, via usage of econometric software for the statistical analysis of data, and word-processing, required for the presentation of the summative assignment.
Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module
- Teaching is by lectures and practicals. Learning takes place through attendance at lectures, preparation for, and participation in, practical classes in addition to private study.
- Formative assessment is by means of an essay.
- Summative assessment is by means of a written assignment. In the assignment students are required to collect appropriate historical data to implement the techniques covered within the module and provide a comprehensive narrative and analysis that demonstrates critical thinking on those topics and results.
Teaching Methods and Learning Hours
| Activity | Number | Frequency | Duration | Total/Hours | |
|---|---|---|---|---|---|
| Lectures | 20 | 1 per week | 1 hr | 20 | |
| Practicals | 11 | 6 in term 1, 5 in term 2 | 1 hr | 11 | |
| Preparation and Reading | 169 | ||||
| Total | 200 |
Summative Assessment
| Component: Assignment | Component Weighting: 100% | ||
|---|---|---|---|
| Element | Length / duration | Element Weighting | Resit Opportunity |
| One written assignment | 4500 words max | 100% | same |
Formative Assessment:
1500 word essay