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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2013/2014 -
- ARCHIVE as at 1 September 2013 for reference only
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DRPS : Course Catalogue : School of Mathematics : Mathematics

Postgraduate Course: Financial Econometrics (MATH11064)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Course typeStandard AvailabilityNot available to visiting students
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) Credits7.5
Home subject areaMathematics Other subject areaFinancial Mathematics
Course website None Taught in Gaelic?No
Course descriptionSee Heriot-Watt University
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Co-requisites
Prohibited Combinations Other requirements MSc Financial Mathematics students only.
Additional Costs None
Course Delivery Information
Delivery period: 2013/14 Semester 2, Not available to visiting students (SS1) Learn enabled:  No Quota:  None
Web Timetable Web Timetable
Class Delivery Information See Heriot-Watt University
Course Start Date 13/01/2014
Breakdown of Learning and Teaching activities (Further Info) Total Hours: 75 ( Lecture Hours 24, Seminar/Tutorial Hours 6, Summative Assessment Hours 1.5, Programme Level Learning and Teaching Hours 2, Directed Learning and Independent Learning Hours 41 )
Additional Notes Examination takes place at Heriot-Watt University.
Breakdown of Assessment Methods (Further Info) Written Exam 100 %, Coursework 0 %, Practical Exam 0 %
No Exam Information
Summary of Intended Learning Outcomes
See Heriot-Watt University
Assessment Information
See 'Breakdown of Assessment Methods' and 'Additional Notes' above.
Special Arrangements
MSc Financial Mathematics students only.
Additional Information
Academic description Not entered
Syllabus Economic and financial data
Basic econometric methods; simultaneity, identification
Econometric methods
Non-spherical disturbances
ARCH models
GARCH models
Vector autoregression and Granger causality
Unit roots
Cointegration
Error correction models
Applied studies in financial econometric methods
Transferable skills Not entered
Reading list Campbell, Lo & McKinley (1997). The Econometrics of Financial Markets. Princeton University Press.
Engle, R. F. (1995). ARCH: Selected Readings. OUPress.
Greene, W. H. (2003). Econometric analysis. 5th ed., Prentice Hall.
Gujarati, D. N. (2003). Basic econometrics. 4th ed., McGraw-Hill.
Gourieroux, C., & Jasiak, J. (2001). Financial Econometrics: Problems, Models and Methods. Princeton University Press.
Hamilton (1994). Time Series Analysis (Chapters 11 and 1720). Princeton University Press.
Maddala, G. S. (2001). Introduction to econometrics. 3rd ed., Wiley.
Study Abroad Not Applicable.
Study Pattern Not entered
KeywordsFEc
Contacts
Course organiserDr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk
Course secretaryMrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk
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