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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2017/2018

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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
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) AvailabilityNot available to visiting students
SCQF Credits7.5 ECTS Credits3.75
SummaryTo introduce the methods of econometrics and their application to financial data.

This course is delivered by Heriot Watt University and is only available to students on the MSc Financial Mathematics programme.
Course description Economic and financial data
Basic econometric methods
Simultaneity, identification
Instrumental variables
Non-spherical disturbances
Collinearity
Multivariate time series methods
Vector autoregression
Granger causality
Unit roots
Cointegration
Error correction models
Generalised method of moments
Applied studies in financial econometric methods
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Co-requisites
Prohibited Combinations Other requirements MSc Financial Mathematics students only.
Course Delivery Information
Academic year 2017/18, Not available to visiting students (SS1) Quota:  None
Course Start Semester 2
Timetable Timetable
Learning and Teaching activities (Further Info) Total Hours: 75 ( Lecture Hours 24, Seminar/Tutorial Hours 6, Summative Assessment Hours 2, Programme Level Learning and Teaching Hours 2, Directed Learning and Independent Learning Hours 41 )
Additional Information (Learning and Teaching) Examination takes place at Heriot-Watt University.
Assessment (Further Info) Written Exam 100 %, Coursework 0 %, Practical Exam 0 %
Additional Information (Assessment) See 'Breakdown of Assessment Methods' and 'Additional Notes' above.
Feedback Not entered
Exam Information
Exam Diet Paper Name Hours & Minutes
Main Exam Diet S2 (April/May)Financial Econometrics (MATH11064) 2:00
Learning Outcomes
On completion of this course the student should be able to:
- demonstrate an understanding of the basic econometric methods
- test multivariate time series for characteristics such as Granger causality, unit roots, cointegration
- apply the generalised method of moments to problems involving financial time series
- have a critical understanding of the scope and limitations of econometric methods
- apply the concepts and techniques listed above to the modelling of stock prices, exchange rates and other related financial time series
- formulate and test models for financial time series
- plan and organize through self-management and time-management
- assess issues with working as part of a team

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.
Additional Information
Graduate Attributes and Skills Not entered
KeywordsFEc
Contacts
Course organiserDr David Siska
Tel: (0131 6)51 9091
Email: D.Siska@ed.ac.uk
Course secretaryMs Hannah Burley
Tel: (0131 6)50 4885
Email: Hannah.Burley@ed.ac.uk
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