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MSc Economics

Year of entry: 2020

Course unit details:
Financial Econometrics

Unit code ECON60332
Credit rating 15
Unit level FHEQ level 7 – master's degree or fourth year of an integrated master's degree
Teaching period(s) Semester 2
Offered by Economics
Available as a free choice unit? Yes

Aims

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.

Learning outcomes

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

Syllabus

 

  1. Properties of Financial Data
  2. Linear Models (OLS, MLE)
  3. Univariate/Multivariate Linear Time Series, Asymptotics
  4. Volatility Modelling
  5. GMM
  6. VaR and Extreme Value Theory
  7. High-Frequency Data and Market Microstructure
  8. Realized Variance and Market Microstructure Noise

Teaching and learning methods

Lectures and tutorials

Assessment methods

Final examination: 68%
Assessed coursework: 4 pieces each weighted at 8% (32%)

Recommended reading

Tsay Ruey (2010)

Main text:

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.

 

 

 

Study hours

Scheduled activity hours
Lectures 20
Tutorials 10
Independent study hours
Independent study 120

Teaching staff

Staff member Role
Arthur Sinko Unit coordinator

Additional notes

Information
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

Timetable
Lecture: Friday 9 - 11am,
Tutorial: Tuesday 12-1pm,

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