Postgraduate Course: Financial Econometrics (MATH11064)
|School||School of Mathematics
||College||College of Science and Engineering
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
||Availability||Not available to visiting students
|Summary||To 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.
Economic and financial data
Basic econometric methods
Multivariate time series methods
Error correction models
Generalised method of moments
Applied studies in financial econometric methods
Entry Requirements (not applicable to Visiting Students)
||Other requirements|| MSc Financial Mathematics students only.
Course Delivery Information
|Academic year 2017/18, Not available to visiting students (SS1)
|Learning and Teaching activities (Further Info)
Lecture Hours 24,
Seminar/Tutorial Hours 6,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
|Additional Information (Learning and Teaching)
Examination takes place at Heriot-Watt University.
|Assessment (Further Info)
|Additional Information (Assessment)
||See 'Breakdown of Assessment Methods' and 'Additional Notes' above.
||Hours & Minutes
|Main Exam Diet S2 (April/May)||Financial Econometrics (MATH11064) ||2:00|
| 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
|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 17¿20). Princeton University Press.
Maddala, G. S. (2001). Introduction to econometrics. 3rd ed., Wiley.
|Graduate Attributes and Skills
|Course organiser||Dr David Siska
Tel: (0131 6)51 9091
|Course secretary||Ms Hannah Burley
Tel: (0131 6)50 4885