Financial Econometrics 2

Learning Outcomes

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

• Critically evaluate statistical models and integration tools
• Analyse financial data and solve complex problems
• Use an econometric software package (EViews)

Transferable and Generic Skills

Having successfully completed this module you will be able to:

• Collect and analyse quantitative data

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

• Analyse financial data
• Econometric modelling
• Cointegration of financial time series

Classical time series analysis

Deterministic trends

Cyclicality

Seasonality

ARIMA models

Box-Jenkins approach

Forecasting

Out-of-sample properties

Structural breaks

Testing for structural breaks

Endogenous and exogenous tests

Vector autoregression (VAR)

Short-term dynamics

Lag specification

Forecasting

Co-integration and long-term equilibrium

Johansen procedure

Structural breaks in long-term equilibrium

Vector error correction models (VECM)

Speed of adjustment

Short and long-term dynamics

Modelling conditional volatility

ARCH model

GARCH model (and GARCH family of models)

Panel Data Estimation

Weekly lectures will provide an overview of the main issues arising in the module.

Weekly classes will supplement the lectures which will support student learning by providing opportunities for you to attempt, and gain feedback on, numerical and problem-solving exercises. This will include access to computer labs to conduct primary research via EViews software.

Formative

This is how we’ll give you feedback as you are learning. It is not a formal test or exam.

In-class activities

• Assessment Type: Formative
• Feedback: There will be substantial written feedback provided on each report and more feedback may be sought from the module leader.
• Final Assessment: No
• Group Work: No

Summative

This is how we’ll formally assess what you have learned in this module.

Referral

This is how we’ll assess you if you don’t meet the criteria to pass this module.

Repeat

An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.