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Semester 2

Applied Financial Econometrics (ECNM10108)

Subject

Economics

College

CAHSS

Credits

20

Normal Year Taken

3

Delivery Session Year

2023/2024

Pre-requisites

Visiting students must have completed the equivalent of at least 4 semester-long Economics courses at grade B or above for entry to this course. This MUST INCLUDE courses in: Intermediate Macroeconomics (with calculus); Intermediate Microeconomics (with calculus); Probability & Statistics; and Introductory Econometrics. If macroeconomics and microeconomics courses are not calculus-based, then, in addition, Calculus (or Mathematics for Economics) is required at grade B or above. Please see Additional Restrictions below.

Course Summary

Applied Financial Econometrics provides an introduction to financial econometric theory and practice for students interested in the empirical analysis of financial data.

Course Description

The aim of the course is to illustrate how statistical and econometric methods can be applied to financial data. It builds on materials covered in Essentials of Econometrics and complements the time series component of Applications of Econometrics. It provides the essential tools for the analysis of dynamics, volatility, and risk in financial markets. Topics covered include autoregressive moving average models, conditional heteroskedasticity models, and value at risk. The course offers a mixture of theoretical and practical components through lectures, tutorials, and lab exercises. It is designed for students interested in empirical investigations of financial market fluctuations. The learnings goals are for students to evaluate the financial econometrics literature, identify the issues and opportunities in financial time series modelling, and apply the appropriate techniques to financial data using econometrics software.

Assessment Information

Written Exam 65%, Coursework 35%, Practical Exam 0%

Additional Restrictions

Students enrolling on this course are also strongly encouraged to take Applications of Econometrics (ECNM10056), provided they meet the pre-requisites for this course. It is not suitable for students to take this course alongside Essentials of Econometrics (ECNM10052).

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Disclaimer

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