ECON6028 Financial Econometrics
The module will introduce you to various topics drawn from the modern empirical finance literature and to the underlying econometric techniques used to evaluate alternative models of the dynamics of asset prices and returns. Knowledge of basic econometrics (such as that covered by ECON6004 Quantitative Methods) is a pre-requisite. Software such as EViews will be used to give practical illustrations. Successful completion of this module is of particular value if you intend to prepare an empirical dissertation involving financial applications as the final component of your MSc programme.
Aims and Objectives
To provide you with econometric techniques that are commonly used for analysing and understanding the behaviour of financial data
Having successfully completed this module you will be able to:
- Demonstrate knowledge and understanding of the key features characterising the behaviour of financial asset prices and returns
- Use appropriate univariate and multivariate time series models for financial market data
- Specify alternative models for modelling volatility
- Understand the importance and use of simulation techniques in finance.
The main topics to be covered are: • The Characteristics of Financial Market Data • Stationary Time Series: Modelling, Forecasting and Seasonality • Modelling Volatility: GARCH and Related Models • Models with Trends: Unit Roots and Structural Change • Multivariate Time Series Models • Cointegration and Error Correction Models • Selected Nonlinear Time Series Models • Simulation Methods in Finance: Monte Carlo and Bootstrapping
Learning and Teaching
|Total study time||200|
Resources & Reading list
Other. Details of references to additional textbooks, journal articles or working papers will be provided on Blackboard at the beginning of each topic.
Walter Enders (2010). Applied Econometric Time Series.
For the coursework components of this module, you are asked to specify, estimate and evaluate models for specific financial data sets. This assesses whether you are able to use appropriate univariate and multivariate time series models for financial market data.
|Exam (3 hours)||90%|