Postgraduate Course: Financial Econometrics and Quantitative Techniques (CMSE11013)
Course Outline
| School |
Business School |
College |
College of Humanities and Social Science |
| Course type |
Standard |
Availability |
Available to all students |
| Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
10 |
| Home subject area |
Common Courses (Management School) |
Other subject area |
None |
| Course website |
None |
|
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| Course description |
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 |
|
Co-requisites |
|
| Prohibited Combinations |
|
Other requirements |
None
|
| Additional Costs |
None |
Course Delivery Information
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 |
| Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
| Not entered |
Contacts
| Course organiser |
Mr Ercan Balaban
Tel: (0131 6)50 8344
Email: Ercan.Balaban@ed.ac.uk |
Course secretary |
Ms Natalie Honeyman
Tel: (0131 6)51 1458
Email: Natalie.Honeyman@ed.ac.uk |
|
copyright 2010 The University of Edinburgh -
1 September 2010 5:45 am
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