Module ASB-4408:
Financial Econometrics
Module Facts
Run by Bangor Business School
15.000 Credits or 7.500 ECTS Credits
Semester 2
Organiser: Dr Chrysovalantis Vasilakis
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.
Course content
• 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.
Assessment Criteria
threshold
A basic knowledge of course material.
good
In addition to the above, an ability to formulate, test and apply simple econometric models to relevant financial or business data sets.
excellent
In addition to the above, an ability to critically analyse the strengths and limitations of existing econometric methods using relevant theoretical and practical criteria.
Learning outcomes
-
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.
Assessment Methods
| Type | Name | Description | Weight |
|---|---|---|---|
| Coursework | 25.00 | ||
| Final Examination Mark | 75.00 |
Teaching and Learning Strategy
| Hours | ||
|---|---|---|
| Private study | 120 | |
| Lecture | Five weekly 4 hours lectures: 20 in total. |
20 |
| Practical classes and workshops | Five weekly 2-hour tutorials-workshops |
10 |
Transferable skills
- Numeracy - Proficiency in using numbers at appropriate levels of accuracy
- Computer Literacy - Proficiency in using a varied range of computer software
- Critical analysis & Problem Solving - Able to deconstruct and analyse problems or complex situations. To find solutions to problems through analyses and exploration of all possibilities using appropriate methods, rescources and creativity.
- Presentation - Able to clearly present information and explanations to an audience. Through the written or oral mode of communication accurately and concisely.
Resources
Talis Reading list
http://readinglists.bangor.ac.uk/modules/asb-4408.htmlReading list
Chris Brooks Introductory Econometrics for Finance
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)
- N3CW: MSc Bank & Fin (Chartered Banking) (with Incorp Pre-Masters) year 1 (MSC/BFCB1)
- N3CS: MSc Banking and Finance (with Incorporated Pre-Masters) year 1 (MSC/BKFIN1)
- 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)
- N3CZ: MSc Islamic Banking & Fin (with Incorporated Pre-Masters) year 1 (MSC/IBF1)
- N3CC: MSc Investment Management year 1 (MSC/IMGT)
- N3CX: MSc Investment Management (with Incorporated Pre-Masters) year 1 (MSC/IMGT1)