[Offered in odd-numbered years]
|Student Contribution Band:||Band 3|
|Administered by:||School of Business (pre 2015)|
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.
|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.