FINN3091: Financial Econometrics 2

• Financial Econometrics 1 (FINN2031)

• None

• None

• This module aims to provide students with a rigorous grounding in financial econometrics.
• Encourage students to critically appraise work in this area and to facilitate students' analytical skills.

• Content of this module will investigate contemporaneous financial econometric tools and adapts to changing approaches in this area.
• Linear time series models and forecasting.
• Types of trend, integrated time series and unit root processes.
• Models with multiple time series and the presence of common trends.
• Volatility modelling and forecasting.
• Non-linear time series modelling and financial data analysis.
• Advanced topics in time series modelling.

Subject-specific Knowledge:

• Have become familiar with econometric tools employed in financial research and practice.
• Be able to apply and interpret advanced econometric techniques.

Subject-specific Skills:

• Be able to implement and interpret statistical tests to discriminate between stationary and non-stationary time series and to be able to model the series appropriately .
• Be able to implement and interpret statistical tests to determine the presence of contegration between pairs of non-stationary time series and be able to model the series appropriately.
• Be able to appropriately model time series which display significant time variation in conditional variance.

Key Skills:

• Written communication, via summative assessment.
• Planning and Organising - by observing the assignment deadlines.
• Problem solving, via understanding the technical problems assessed by summative work, as well as the analytical and quantitative skills of econometrics.
• Initiative, in searching the relevant literature, for the summative assignment.
• Numeracy, required for understanding and applying the mathematical and statistical tools that underpin econometric analysis.
• IT skills, via usage of econometric software for the statistical analysis of data, and word-processing, required for the presentation of the summative assignment.

• Teaching is by lectures and practicals. Learning takes place through attendance at lectures, preparation for, and participation in, practical classes in addition to private study.
• Formative assessment is by means of an essay.
• Summative assessment is by means of a written assignment. In the assignment students are required to collect appropriate historical data to implement the techniques covered within the module and provide a comprehensive narrative and analysis that demonstrates critical thinking on those topics and results.

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