FIN30200 Econometrics of Financial Markets

Academic Year 2022/2023

This module aims to provide students with a comprehensive understanding of the econometric techniques used in financial economics. It explains the nature of time series econometrics and demonstrates applications in business, economics and finance. The model will cover the latest econometric tools used in analysing economic and financial time series data. Specifically we focus on issues such as: Stationarity, Cointegration and Error Correction Models, time varying volatility models and regime-switching models. Strong emphasis will be placed on the practical application of such models to real financial data.
Some computer software packages will be used to estimate models and perform diagnostic tests.

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Curricular information is subject to change

Learning Outcomes:

At the end of this course students should be able to:
1) Apply the techniques introduced to practical problems in financial economics.
2) Understand and explain the principles underlying the main testing and modelling paradigms in econometric analysis.
3) Apply and assess the methodology of time series analysis in finance.

Student Effort Hours: 
Student Effort Type Hours
Lectures

24
Tutorial

10
Autonomous Student Learning

90
Total

124
Approaches to Teaching and Learning:
Students will be involved in active learning based on lectures' quizzes, applied projects, and video presentations. 
Requirements, Exclusions and Recommendations
Learning Recommendations:

Student should have an understanding of the basic concepts in statistics, inference analysis, and matrix operations.


Module Requisites and Incompatibles
Not applicable to this module.
 
Assessment Strategy  
Description Timing Open Book Exam Component Scale Must Pass Component % of Final Grade
Continuous Assessment: Continuous assessment through quizzes, homework and practical assignments Varies over the Trimester n/a Graded Yes

60
Continuous Assessment: Applied Projects Varies over the Trimester n/a Graded Yes

40

Carry forward of passed components
Yes
 
Resit In Terminal Exam
Spring No
Please see Student Jargon Buster for more information about remediation types and timing. 
Feedback Strategy/Strategies

• Feedback individually to students, post-assessment
• Self-assessment activities

How will my Feedback be Delivered?

Not yet recorded.

Name Role
Martina Assereto Tutor
Miss Yumeng Gao Tutor
Diego Pérez Guisande Tutor
Mingchuan Zhou Tutor