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Unit information: Applied Financial Econometrics in 2021/22

Unit name Applied Financial Econometrics
Unit code EFIMM0127
Credit points 15
Level of study M/7
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Dr. Khatoon
Open unit status Not open
Pre-requisites

ECONM1022, Econometrics

Co-requisites

n/a

School/department School of Economics
Faculty Faculty of Social Sciences and Law

Description including Unit Aims

This unit aims to deliver the knowledge and understanding of the key time series econometric methodologies in an applied fashion. The complex theories are blended with applications using data and software packages to achieve in depth understanding. The unit is aimed to prepare students for dissertation, enhancing their ability to understand empirical time series literature, and to replicate and extend them.

Course contents

  • Fundamental concepts: Stationary stochastic process, autocovariance and autocorrelation functions
  • Modelling univariate time series under stationarity: Autoregressive models (AR), Moving Average models (MA), Autoregressive Moving Average models (ARMA)
  • Modelling volatility and correlation: Autoregressive, Generalized Autoregressive Conditional Heteroscedasticity (ARCH and GARCH) models
  • Multivariate Time series analysis: Vector Autoregression (VAR), Vector Error Correction (VEC) models

Advanced topics: Structural Break and Threshold models (time permitting)

Intended Learning Outcomes

  1. Develop a firm understanding of econometric methodologies used to analyse macroeconomic and financial data
  2. Understand which method should be applied in different contexts of time series analysis
  3. Critically evaluate published empirical research to analyse the strengths and weaknesses in such work
  4. Conduct time series analysis using appropriate software packages and ability to writeup the results in a formal fashion

Teaching Information

Teaching will be delivered through a combination of synchronous and asynchronous sessions such as online teaching for large and small group, face-to-face small group classes (where possible) and interactive learning activities

Assessment Information

Coursework (50%) and timed assessment (50%)

Resources

If this unit has a Resource List, you will normally find a link to it in the Blackboard area for the unit. Sometimes there will be a separate link for each weekly topic.

If you are unable to access a list through Blackboard, you can also find it via the Resource Lists homepage. Search for the list by the unit name or code (e.g. EFIMM0127).

How much time the unit requires
Each credit equates to 10 hours of total student input. For example a 20 credit unit will take you 200 hours of study to complete. Your total learning time is made up of contact time, directed learning tasks, independent learning and assessment activity.

See the Faculty workload statement relating to this unit for more information.

Assessment
The Board of Examiners will consider all cases where students have failed or not completed the assessments required for credit. The Board considers each student's outcomes across all the units which contribute to each year's programme of study. If you have self-certificated your absence from an assessment, you will normally be required to complete it the next time it runs (this is usually in the next assessment period).
The Board of Examiners will take into account any extenuating circumstances and operates within the Regulations and Code of Practice for Taught Programmes.

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