Financial Econometrics and Quantitative Techniques (P00242)

? Credit Points : 10 ? SCQF Level : 11 ? Acronym : MSE-P-FEAQT

The course will cover statistical and econometric techniques widely used in financial research. The areas to be covered will include time series and cross sectional econometric models, statistical models and use of statistics in financial research, and econometric tests of domestic and international asset pricing models. Students will also undertake econometric tests of derivative pricing, forecasting and forecast evaluation, event studies, tests of financial risk management models and extreme events, and volatility modelling. The course will also investigate market microstructure, study the effectiveness of hedging in financial markets, and introduce the use of neural network models in financial analysis.

Entry Requirements

? Pre-requisites : PGs only

Subject Areas

Home subject area

Common Courses (Management School and Economics), (Management School and Economics, Schedule H)

Delivery Information

? Normal year taken : Postgraduate

? Delivery Period : Semester 2 (Blocks 3-4)

? Contact Teaching Time : 2 hour(s) per week for 10 weeks

Summary of Intended Learning Outcomes

The course aims to provide students with statistical and econometric techniques used in academic and applied research in finance. The course also aims to teach practical use of econometrics software packages, such as Eviews and Microfit.

Assessment Information

Students may choose to do a coursework essay (which will account for 30% of total assessment if chosen) or an empirical project (which will account for 50% of total assessment if chosen). A two-hour written examination will make up the remainder of the assessment, after taking the above choice into account