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MSc Economics / Course details

Year of entry: 2023

Course unit details:
Financial Econometrics

Course unit fact file
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

Overview

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.

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 financial 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, modelling techniques and estimation tools;

(v)        extensively use computer software to implement the above methods and apply them to economic data

Syllabus

 

  1. Linear Models (OLS, MLE), Overview of Statistics
  2. Univariate/Multivariate Linear Time Series Analysis
  3. Properties of Financial Data
  4. Volatility Modelling
  5. Value-at-Risk and Forecasting
  6. High-Frequency Data and Market Microstructure
  7. Realized Variance
  8. Portfolio allocation and multivariate risk modelling

Teaching and learning methods

Lectures and tutorials

Knowledge and understanding

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 and have a previous knowledge of programming in R

Assessment methods

Method Weight
Written exam 80%
Written assignment (inc essay) 20%

Recommended reading

Main textbooks:

Tsay Ruey S. (2010): Analysis of Financial Time Series, 3rd edition. New York, NY: John Wiley & Sons available online via the Library

Campbell, John Y., Andrew W. Lo, and A. Craig MacKinley (1997). The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.

Andersen T., Davis R., Kreiß J. and Mikosch T. (2009): Handbook of Financial Time Series, Springer.

Other books on some of the topics covered in the class are

Brooks, C. (2002): Introductory Econometrics for Finance, Cambridge University Press Cambridge

Franses and van Dijk (2000): Nonlinear Time Series Models in Empirical Finance, Cambridge University Press Cambridge.

Gourieroux and Jasiak (2001): Financial Econometrics, Princeton University Press, Princeton.

McNeil, Frey and  Embrechts (2005): Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press, Princeton.

As a supplementary reading on time series econometrics, you may find the following texts useful: 

Hamilton, James (1994). Time Series Analysis. Princeton University Press

 

 

 

Study hours

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

Teaching staff

Staff member Role
Ekaterina Kazak Unit coordinator

Additional notes

 

 

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