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EC5213 - Financial Econometrics

[Offered in odd-numbered years]

Credit points: 3
Year: 2012
Student Contribution Band: Band 3
Administered by: School of Business

This subject provides an introduction to econometric tools most used in empirical economics and finance to gain understanding of the sources and characteristics of data. Topics include: Predictability of Asset returns, Volatility modeling (ARCH / GARCH / EGARCH and long memory processes), Cointegration analysis (Engle-Granger and Johansen's methodologies and test fopr block exogeneity, Entreme-value theory, Modelling high-frequency data, Modelling and testing CAPM and APT Theories.

Learning Outcomes

  • to provide a sound knowledge of the theory and general application of time series econometrics software packages to carry out research and analysis.

Graduate Qualities

  • The ability to think critically, to analyse and evaluate claims, evidence and arguments;
  • The ability to adapt knowledge to new situations;
  • The ability to define and to solve problems in at least one discipline area;
  • The ability to communicate effectively with a range of audiences;
  • The ability to lead, manage and contribute effectively to teams;
  • The ability to speak and write logically, clearly and creatively;
  • The ability to calculate, produce, interpret and communicate numerical information;
  • The ability to select and use appropriate IT tools;
  • The ability to access and employ online technologies effectively;
  • The ability to use and interpret different media;
  • A coherent and disciplined body of skills, knowledge, values and professional ethics in at least one discipline area;
  • The ability to use a variety of media and methods to retrieve, analyse, evaluate, organise and present information;
  • The ability to reflect on and evaluate learning processes and products;
  • The ability to learn independently and in a self-directed manner;
  • A commitment to lifelong learning and intellectual development.
Prerequisites: EC2101 or EC3413 or EC2413

Note: Minor variations might occur due to the continuous Subject quality improvement process, and in case of minor variation(s) in assessment details, the Subject Outline represents the latest official information.