Year of entry: 2020
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Course unit details:
|Unit level||FHEQ level 7 – master's degree or fourth year of an integrated master's degree|
|Teaching period(s)||Semester 2|
|Available as a free choice unit?||Yes|
The aims of this course are to:
(i) enable students to understand recent applied literature in core journals of economics and finance which uses time series methods;
(ii) provide students with the necessary background to conduct applied empirical work using financial data.
At the end of this course students should be able to:
(i) identify empirical features and characteristics of various types of financial data
(ii) utilize various statistical/economic modelling techniques to capture the empirical characteristics of the data;
(iii) choose and correctly apply proper estimation, testing and forecasting techniques as dictated by the data and selected model;
(iv) develop a firm understanding of interrelationships among the data characteristics, modeling techniques and estimation tools;
(v) extensively use computer software to implement the above methods and apply them to economic data
- Properties of Financial Data
- Linear Models (OLS, MLE)
- Univariate/Multivariate Linear Time Series, Asymptotics
- Volatility Modelling
- VaR and Extreme Value Theory
- High-Frequency Data and Market Microstructure
- Realized Variance and Market Microstructure Noise
Teaching and learning methods
Lectures and tutorials
Final examination: 68%
Assessed coursework: 4 pieces each weighted at 8% (32%)
Tsay Ruey (2010)
Tsay Ruey S. (2010): Analysis of Financial Time Series, 3rd edition. New York, NY: John Wiley & Sons available online via the Library
The following text is a financial econometrics classic and provides more details on many of the topics covered in Tsay (2010):
Campbell, John Y., Andrew W. Lo, and A. Craig MacKinley (1997). The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.
Other books on some of the topics covered in the class are
Jorion, Philippe (2006), Value at Risk, 3rd Edition. McGraw-Hill.
Christoffersen, Peter (2003), Elements of Financial Risk Management. Academic Press.
As a supplementary reading on time series econometrics, you may find the following texts useful:
Enders, Walter (2003). Applied Econometric Time Series, 2nd Edition. New York, NY: John Wiley & Sons.
Hamilton, James (1994). Time Series Analysis. Princeton University Press.
Hamilton is an excellent book, especially for those with an interest in the theory of time series.
|Scheduled activity hours|
|Independent study hours|
|Arthur Sinko||Unit coordinator|
Lecturers: Dr Arthur Sinko
This is an MSc-level course unit in Financial econometrics, which therefore assumes that students have previously taken the equivalent of a whole year undergraduate econometrics course, as well as MSc-level econometrics analysis including MATLAB mini-course
Lecture: Friday 9 - 11am,
Tutorial: Tuesday 12-1pm,