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Financial Econometrics

Module code: ACFI3308

Module description

The area of financial econometrics examines the application of advanced econometric analysis and modelling tools to financial data. Using techniques fundamentally similar to the ones utilised in the empirical study of economic applications, financial econometrics deals with the modelling and analysis of financial time-series such as prices, returns, exchange rates, interest rates, etc. This module extends students; knowledge of the field of econometric analysis and modelling introduced in year two of the programme by introducing them to the concepts of time-series mathematics and the modelling of univariate and multivariate processes.

The module also exposes students to the modelling of long-run relationships in finance where students are introduced to the impact of non-stationary data to regression modelling and the most commonly used methodologies to detect and solve this problem.

Finally, the module concludes with an introduction to non-linear relationships in finance and the examination of the most commonly used in empirical finance non-linear forecasting models, such as the autoregressive conditional hetroscedastic (ARCH) and the generalized ARCH models (GARCH).

Contact hours per student per year

  • Lectures: 22 hours
  • Tutorials: 22 hours

Assessments

  • Individual assignment: 60%
  • Phase test: 40%

Additional costs: No extra costs other than purchase of books

 
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