Modiwl ASB-4408:
Financial Econometrics
Ffeithiau’r Modiwl
Rhedir gan Bangor Business School
15.000 Credyd neu 7.500 Credyd ECTS
Semester 2
Trefnydd: Dr Chrysovalantis Vasilakis
Amcanion cyffredinol
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.
Cynnwys cwrs
• 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.
Meini Prawf
trothwy
A basic knowledge of course material.
da
In addition to the above, an ability to formulate, test and apply simple econometric models to relevant financial or business data sets.
ardderchog
In addition to the above, an ability to critically analyse the strengths and limitations of existing econometric methods using relevant theoretical and practical criteria.
Canlyniad dysgu
-
Demonstrate an understanding of the key theoretical underpinnings and practical applications of econometrics for financial and business analysts.
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Design, estimate and evaluate econometric models to financial and business data sets using the Stata econometrics software package.
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Demonstrate a critical awareness of the implicit assumptions and the limitations underlying empirical models based on financial and business data.
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Demonstrate an understanding of recent developments in time series econometrics, and their implications for modelling the returns and volatility of financial assets.
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Critically evaluate academic literature with an empirical content in economics, finance and business.
Dulliau asesu
| Math | Enw | Disgrifiad | Pwysau |
|---|---|---|---|
| Coursework | 25.00 | ||
| Final Examination Mark | 75.00 |
Strategaeth addysgu a dysgu
| Oriau | ||
|---|---|---|
| Private study | 120 | |
| Lecture | Five weekly 4 hours lectures: 20 in total. |
20 |
| Practical classes and workshops | Five weekly 2-hour tutorials-workshops |
10 |
Sgiliau Trosglwyddadwy
- Rhifedd - Medrusrwydd wrth ddefnyddio rhifau ar lefelau priodol o gywirdeb
- Defnyddio cyfrifiaduron - Medrusrwydd wrth ddefnyddio ystod o feddalwedd cyfrifiadurol
- Dadansoddi Beirniadol & Datrys Problem - Gallu dadelfennu a dadansoddi problemau neu sefyllfaoedd cymhleth. Gallu canfod atebion i broblemau drwy ddadansoddiadau ac archwilio posibiliadau
- Cyflwyniad - Gallu cyflwyno gwybodaeth ac esboniadau yn glir i gynulleidfa. Trwy gyfryngau ysgrifenedig neu ar lafar yn glir a hyderus.
Adnoddau
Rhestrau Darllen Bangor (Talis)
http://readinglists.bangor.ac.uk/modules/asb-4408.htmlRhestr ddarllen
Chris Brooks Introductory Econometrics for Finance
Cyrsiau sy’n cynnwys y modiwl hwn
Gorfodol mewn cyrsiau:
- 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)
Opsiynol mewn cyrsiau:
- 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)