The purpose of this module is to provide an introduction to core topics in financial econometrics that are useful in financial research. It is a relatively technical course that will suit students with some econometrics background who are comfortable with technical material. While practically oriented, it does involve some theoretical econometric material.
Module Aims
The main aims of the module are:
1. to enable students to acquire the skills and techniques necessary to understand and critically evaluate the research areas covered;
2. to enable students to develop and apply a subset of those skills and techniques in coursework.
Learning Outcomes
On successful completion of the module, students will be able to:
1. Understand and apply the following methods: OLS, hypothesis testing techniques, VARs, SUR, ARCH, GARCH and HAR, non-stationarity and cointegration, tests of the EMH, predictability of asset returns, long-horizon regressions, time variation in returns, point and density forecasting and forecast evaluation, and panel estimation.
2. Be familiar with econometric software (primarily EViews) and be able to implement financial applications.
Skills for Your Professional Life (Transferable Skills)
The course will deliver several skills that will be useful in your future professional life. These include:
1. Written Communication (through coursework)
2. Research Skills (a key objective in this module)
3. Critical Thinking
4. Digital and Technical Fluency (using econometric software)
5. Data and Analytics
Module Aims
The main aims of the module are:
1. to enable students to acquire the skills and techniques necessary to understand and critically evaluate the research areas covered;
2. to enable students to develop and apply a subset of those skills and techniques in coursework.
Learning Outcomes
On successful completion of the module, students will be able to:
1. Understand and apply the following methods: OLS, hypothesis testing techniques, VARs, SUR, ARCH, GARCH and HAR, non-stationarity and cointegration, tests of the EMH, predictability of asset returns, long-horizon regressions, time variation in returns, point and density forecasting and forecast evaluation, and panel estimation.
2. Be familiar with econometric software (primarily EViews) and be able to implement financial applications.
Skills for Your Professional Life (Transferable Skills)
The course will deliver several skills that will be useful in your future professional life. These include:
1. Written Communication (through coursework)
2. Research Skills (a key objective in this module)
3. Critical Thinking
4. Digital and Technical Fluency (using econometric software)
5. Data and Analytics
Category: Finance