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FINN41615: Financial Modelling and Business Forecasting

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Type	Tied
Level	4
Credits	15
Availability	Available in 2023/24
Module Cap	None.
Location	Durham
Department	Finance

Prerequisites

None

Corequisites

Econometric Methods (FINN41715)

Excluded Combinations of Modules

None

Aims

to build upon the knowledge gained in Econometric Methods and provide students with the specific advanced technical skills necessary to understand the latest techniques employed by financial econometricians;
to provide students with the most recent tools required to analyse and predict financial markets.

Content

The statistical properties of univariate time series models and their application in Finance;
Models of nonstationary time series;
Cointegration and error-correction model;
Cointegration in multivariate systems;
Modelling volatility;
Future topics on ARCH;
Forecasting in financial econometrics

Learning Outcomes

Subject-specific Knowledge:

have an advanced knowledge of the principles and methods of modern financial econometrics;
have extended and deepened their understanding of Econometrics and improved their critical judgement and discrimination in the choice of techniques applicable to complex situations;
have extended their understanding of the application of econometric methods and interpretation of the results at an advanced level;
have extended their understanding of the use of econometric tools to conduct advanced empirical investigations into complex specialised issues.

Subject-specific Skills:

have further practised problem solving skills at an advanced level and the use of econometric software.

Key Skills:

Written Communication;
Planning, Organising and Time Management;
Problem Solving and Analysis;
Using Initiative;
Numeracy;
Computer Literacy.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

A combination of lectures, classes and guided reading will contribute to achieving the aims and learning outcomes of this module.
The summative written project will test students' ability to apply advanced econometric methods and tools in order to conduct their own empirical investigation.

Teaching Methods and Learning Hours

Activity	Number	Frequency	Duration	Total	Monitored
Lectures	10	1 per week	2 hours	20
Workshop classes	4		1 hour	4	Yes
Preparation and Reading				126
Total				150

Summative Assessment

Component: Project		Component Weighting: 100%
Element	Length / Duration	Element Weighting	Resit Opportunity
Project	2500 words (max)	100	same

Formative Assessment

Work prepared by students for seminars; answers to questions either discussed during a seminar or posted on Learn Ultra; feedback on discussions with teaching staff during consultation hours, or via e-mail.

More information

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