Run by Bangor Business School
15 Credits or 7.5 ECTS Credits
Organiser: Prof Yener Altunbas
Overall aims and purpose
To provide advanced coverage of econometric methods and practices that are used to model financial and business data, and to develop a critical awareness of the strengths and limitations of modelling techniques.
• Review of the linear regression model: estimation and hypothesis testing; • Dynamic regression models: distributed lag and autoregressive models; • Non-stationarity and testing for unit roots; • Modelling long-run relationships: cointegration; • Modelling volatility: univariate ARCH and GARCH models; • Regression analysis using panel data.
A basic knowledge of course material.
In addition to the above, an ability to formulate, test and apply simple econometric models to relevant financial or business data sets.
In addition to the above, an ability to critically analyse the strengths and limitations of existing econometric methods using relevant theoretical and practical criteria.
Demonstrate an understanding of the key theoretical underpinnings and practical applications of econometrics for financial and business analysts.
Design, estimate and evaluate econometric models to financial and business data sets using the Stata econometrics software package.
Demonstrate a critical awareness of the implicit assumptions and the limitations underlying empirical models based on financial and business data.
Demonstrate an understanding of recent developments in time series econometrics, and their implications for modelling the returns and volatility of financial assets.
Critically evaluate academic literature with an empirical content in economics, finance and business.
|Final Examination Mark||75|
Teaching and Learning Strategy
Two hours of lectures per week.
One 1-hour computer workshop per week.
Courses including this module
Compulsory in courses:
- N3AX: MSc Banking and Finance year 1 (MSC/BANKFIN)
- N3CK: MSc Banking & Finance (Chartered Banker) year 1 (MSC/BFCB)
- N3CT: MSc Finance (with Incorporated Pre-Masters) year 1 (MSC/FIN1)
- N3CM: MSc Finance (10 month) year 1 (MSC/FIN10)
- N3AJ: MSc Finance year 1 (MSC/FINANCE)
- N3CR: MSc Investment Management (10 month) year 1 (MSC/IMGT10)
Optional in courses:
- N3BF: MSc Islamic Banking and Finance year 1 (MSC/IBF)
- N3CC: MSc Investment Management year 1 (MSC/IMGT)
- N3CX: MSc Investment Management (with Incorporated Pre-Masters) year 1 (MSC/IMGT1)