Undergraduate Course: Applied Financial Econometrics (ECNM10108)
Course Outline
| School | School of Economics |
College | College of Arts, Humanities and Social Sciences |
| Credit level (Normal year taken) | SCQF Level 10 (Year 3 Undergraduate) |
Availability | Available to all students |
| SCQF Credits | 20 |
ECTS Credits | 10 |
| Summary | Applied Financial Econometrics provides an introduction to financial econometric theory and practice for students interested in the empirical analysis of financial data. |
| Course description |
The aim of the course is to illustrate how statistical and econometric methods can be applied to financial data. It builds on materials covered in Essentials of Econometrics and complements the time series component of Applications of Econometrics. It provides the essential tools for the analysis of dynamics, volatility, and risk in financial markets. Topics covered include autoregressive moving average models, conditional heteroskedasticity models, and value at risk.
The course offers a mixture of theoretical and practical components through lectures, tutorials, and lab exercises. It is designed for students interested in empirical investigations of financial market fluctuations. The learnings goals are for students to evaluate the financial econometrics literature, identify the issues and opportunities in financial time series modelling, and apply the appropriate techniques to financial data using econometrics software.
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Information for Visiting Students
| Pre-requisites | None |
| High Demand Course? |
Yes |
Course Delivery Information
|
| Academic year 2024/25, Available to all students (SV1)
|
Quota: 100 |
| Course Start |
Semester 2 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
200
(
Lecture Hours 20,
Seminar/Tutorial Hours 6,
Programme Level Learning and Teaching Hours 4,
Directed Learning and Independent Learning Hours
170 )
|
| Assessment (Further Info) |
Written Exam
65 %,
Coursework
35 %,
Practical Exam
0 %
|
| Additional Information (Assessment) |
Individual Project- 35%
Exam - 65% |
| Feedback |
Not entered |
| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
|
| Main Exam Diet S2 (April/May) | | 2:00 | |
Learning Outcomes
On completion of this course, the student will be able to:
- Demonstrate a broad knowledge and understanding of key issues in financial econometrics, including theoretical models and empirical evidence.
- Demonstrate research and investigative skills such as problem framing and solving, as well as the ability to assemble and evaluate complex evidence and arguments.
- Demonstrate communication skills in order to critique, create and communicate understanding.
- Demonstrate personal effectiveness through task management, time management, dealing with uncertainty, adapting to new situations, and personal and intellectual autonomy through independent learning.
- Demonstrate practical/technical skills such as modelling skills (abstraction, logic, succinctness), qualitative and quantitative analysis.
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Additional Information
| Graduate Attributes and Skills |
Not entered |
| Keywords | applied,financial,econometrics |
Contacts
| Course organiser | Dr Yuejun Zhao
Tel:
Email: yuejun.zhao@ed.ac.uk |
Course secretary | Ms Sam Stewart
Tel:
Email: v1sstew7@ed.ac.uk |
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