EC5213 - Financial Econometrics
|Student Contribution Band:
||College of Business, Law & Governance
This subject provides an advanced level overview of econometric tools most used in
empirical economics and finance to gain an understanding of the sources and characteristics
of financial data, such as stock exchange returns, exchange rates, interest rates,
bond rates etc. Applications of econometric models in finance include volatility modelling
and forecasting (ARCH/GARCG/GARCH-M/EGARCH/GJR models), co-integration analysis, extreme
theory and value-at-risk (market risk measure).
- determine the empirical characteristics of financial data;
- describe the properties of econometric techniques used in financial data analysis;
- perform tests of financial hypotheses e.g. Efficient Market Hypothesis (EMH), Capital
Asset Pricing Model (CAPM), Asset Pricing Theories (APT);
- modelling both log-run relationships and short-run interactions among financial time
- provide input into the financial decision making process.
||EC2101 OR EC3413 OR EC2413 OR BX3122
Study Period 1
|Census Date 26-Mar-2015
||Dr Rabiul Beg.
- 26 hours lectures
- 12 hours tutorials
- 12 hours workshops/Seminars - Workshops
||end of semester exam (50%); quizzes or tests (30%); assignments (20%).
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