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Financial Econometrics (ECOM90011)
Graduate courseworkPoints: 12.5Not available in 2025
About this subject
Overview
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Econometric tools based on maximum likelihood and generalised method of moments are used to analyse financial data including stock returns, exchange rates, option prices, interest rates and bonds prices. Applications consist of multi-factor models in finance, univariate and multivariate models of volatility, long-run models of prices using cointegration and panel cointegration. A range of computer software and financial databases will be used throughout the course. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.
Intended learning outcomes
On successful completion of this subject students should be able to:
- Describe the properties of econometric techniques (such as unit roots, cointegration, ARCH/GARCH and Kalman filters) used in financial analysis
- Apply econometric techniques to test hypothesis in financial economics (such as the efficient markets hypothesis, the theory of speculative efficiency, the capital asset pricing model)
- Evaluate the robustness of results obtained from using econometric techniques on real world financial data
- Analyse results obtained from financial data and explain their implications for economic and financial theory
- Orally present the results of an independent piece of research
- Complete a written research project
Generic skills
On successful completion of this subject, students should have improved the following generic skills:
- Evaluation of ideas, views and evidence
- Synthesis of ideas, views and evidence
- Critical thinking
- Accessing economic and other information
- Summary and interpretation of information
- Using computer programs
- Statistical reasoning
- Problem solving skills
- Collaborative learning and teamwork
- Written communication
Last updated: 8 November 2024