Financial Econometrics - BUSN8014

Overview

This is an IT-oriented hands-on applied econometrics/forecasting module on research methodology. This module focuses on the financial applications of statistical and econometric techniques to develop and implement tools for financial analysis and planning models. It is designed for the post-graduate students who are interested in familiarising themselves with the traditional regression techniques as well as the most recent and ongoing modern time-series econometric and forecasting techniques in order to apply them to test models/hypotheses/topical issues.

Details

Contact hours

Private study hours: 114
Contact hours: 36
Total hours: 150

Method of assessment

Main assessment methods:
Individual report (2500 words) (70%)
Group report (2000 words) (30%)


Reassessment method:
100% coursework

Indicative reading

Alexander, C. (2008) Market Risk Analysis, Volume II: Practical Financial Econometrics, Wiley.
Brooks, C. (2019) Introductory Econometrics for Finance, 4thEdition, Cambridge University Press.
Greene, W.H. (2018) Econometric Analysis, 8th Edition, Pearson.
Tsay, R. (2010) Analysis of Financial Time Series, 3rd Edition, Wiley-Interscience.

See the library reading list for this module (Canterbury)

Learning outcomes

The intended specific learning outcomes.
On successfully completing the module students will be able to:

- Demonstrate a comprehensive understanding of the major econometric methods.
- Demonstrate a comprehensive understanding of the application of traditional regression as well as the recent and on-going time series econometric techniques.
- Critically appreciate the various concepts and principles under which financial models are constructed, estimated, tested, forecasted and simulated.
- Use subject knowledge to analyse the problem and provide a reasoned response to that problem in the context of Finance, Accounting, Financial Economics and Business Studies.
- Critically interpret the econometric results by relating them to theoretical, institutional, structural and policy framework of the financial firms, industries, government, institutions and international organisations under review with a view to make statistical results plausible as well as appealing to the investors, practitioners and policy makers.


The intended generic learning outcomes.
On successfully completing the module students will be able to:

- Develop and define complex arguments and provide critical insights on the practical financial, business, institutional and policy problems using appropriate financial models to estimate, test, evaluate, forecast and simulate theories and hypotheses.
- Read, critically summarise and evaluate transactions and economic events related to financial management and derivative securities.
- Apply numerical skills to solve complex numerical problems.
- Locate, extract, and critically analyse data from different sources, to be presented in an appropriate format.
- Plan and work independently using various learning resources.
- Work within groups, share ideas with each other and discuss the relevant issues/results by positively responding to constructive criticism.
- Use information technology to acquire, analyse, and communicate effectively.