Financial Econometrics - CB767

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Module delivery information

Location Term Level1 Credits (ECTS)2 Current Convenor3 2020 to 2021
Medway
Spring 5 15 (7.5) DR V Pappas checkmark-circle

Overview

The module aims to give students a solid understanding of the basic econometric tools that are often used in the empirical finance literature. The module also develops the IT skills of the students so that students are able to implement sophisticated statistical techniques to model, analyse and forecast financial data by means of Eviews (econometric software). Students will also improve their ability to critically evaluate the use of econometrics in the academic finance literature.
Topics covered include:
• Dummy variables in linear regression models
• Time series models (ARIMA models)
• Forecasting
• Unit root tests
• Simulation analysis

Details

This module appears in the following module collections.

Contact hours

The module will be taught by lectures, computer workshops and private study.
Total Contact Hours: 32
Private Study Hours: 118

Method of assessment

Main assessment methods:
Eviews In-course Test – 45 Minutes: 20%
Eviews In-course Test – 45 Minutes: 20%
VLE Test – 45 minutes: 20%
Group Written Report – 3000 Words: 40%
This module is assessed by 60% coursework and 40% in-course tests.

Reassessment methods:
Reassessment will be on a like-for-like basis.

Indicative reading

Essential reading:
Brooks, C. (2014) Introductory Econometrics for Finance (3rd Ed.), Cambridge: Cambridge University Press.
Other reading:
Patterson, K. (2000). An Introduction to Applied Econometrics: A Time Series Approach. Andover: Palgrave.
Wooldridge, J. M. (2016) Introductory Econometrics: A Modern Approach (6th Ed.), Boston, MA: Cengage Learning.

Learning outcomes

8. The intended subject specific learning outcomes.
On successfully completing the module students will be able to:
8.1 Demonstrate a comprehensive knowledge and understanding of the fundamentals of the statistical theory underlying basic econometric models and techniques.
8.2. Formulate and validate econometric models to test financial theories and hypotheses.
8.3 Critically apply relevant knowledge and IT skills to analyse financial data and draw conclusions regarding the behaviour of financial markets.
8.4 Comprehend and critically evaluate the use of econometrics in the published academic finance literature.

9. The intended generic learning outcomes.
On successfully completing the module students will be able to:
9.1 Select and critically apply a variety of econometric techniques, both autonomously and collaboratively.
9.2 Undertake modelling of data using statistical software.
9.3 Demonstrate numeracy and problem solving skills for the interpretation and manipulation of quantitative data
9.4 Effectively communicate information, arguments and analysis to both specialist and non-specialist audiences.

Notes

  1. Credit level 5. Intermediate level module usually taken in Stage 2 of an undergraduate degree.
  2. ECTS credits are recognised throughout the EU and allow you to transfer credit easily from one university to another.
  3. The named convenor is the convenor for the current academic session.
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