Financial Econometrics

Cod y Modiwl: ABM1720
Teitl y Modiwl: Financial Econometrics
Blwyddyn Academaidd: 2027/2028
Semester: Semester 2
Cyd-gysylltydd y Modiwl: Dr Shafiul Azam
Rhestr Ddarllen: Gweld ar Aspire
Staff Eraill sy'n Cyfrannu: Dr Aloysius Igboekwu; Professor Homagni Choudhury; Dr Shafiul Azam

Dulliau Asesu

Math o Asesiad	Manylion Asesiad	Cyfran
Asesiad Semester	Written Report - Empirical project: (2500 words)	30%
Asesiad Semester	Class test: 1 Awr MCQ	20%
Arholiad Semester	3 Awr (Unseen Book)	50%
Asesiad Ailsefyll	Written Report - Empirical project: (1500 words)	30%
Asesiad Ailsefyll	Class test: 1 Awr MCQ	20%
Arholiad Ailsefyll	3 Awr (Unseen Book)	50%

Canlyniadau Dysgu

Wedi cwblhau'r modiwl dylai'r myfyrwyr fedru:

1. Estimate and interpret classical linear regression models.
2. Explain the consequences of the failure of the classical regression assumptions, diagnose problems and identify solutions.
3. Specify and estimate appropriate dynamic models for univariate and multivariate time series.
4. Apply difference-in-difference and matching estimation methods.
5. Specify and estimate appropriate dynamic models.

Disgrifiad cryno

This module provides advanced coverage of econometric methods and practices that are used to model financial data. Although the main emphasis is on practice rather than theory, a sufficient theoretical grounding is provided to develop a critical awareness of the strengths and weaknesses of the modelling techniques that are employed. There is emphasis on the design, estimation and evaluation of appropriate econometric models using econometrics software.

Cynnwys

• Linear Regression analysis
• Testing the assumptions of a regression model
• Stationarity and non-stationarity of financial time series
• Vector autoregressive models
• Cointegration between non-stationary time series
• Modelling volatility in financial time series
• Difference-in-difference estimators, and matching estimators
• Dynamic Models: Auto regressive distributed lag and Distributed lag models

Sgiliau Modiwl

Math o Sgiliau	Manylion Sgiliau
Cyfathrebu	• Develop confidence in and clarity of oral communication via example class/tutorial participation • Develop clarity and focus of written communication via development of answers to self-study questions Develop and use appropriate subject-specific vocabulary in oral and written communication
Datblygu personol a chynllunio gyrfa	• Preparation for seminar tasks will encourage initiative, independence and self-awareness • Identify a variety of potential career opportunities within the financial and professional services sector.
Datrys Problemau	• Identify the precise problem to be solved • Assess which data are pertinent to the problem • Recognize that alternative solution methods might be available • Select and apply appropriate methods for solving the problem Assess the reasonableness of problem solutions and interpret those solutions
Gwaith Tim	Develop experience of team work and develop team working skills via small group working on self-study
Gwella dysgu a pherfformiad ei hun	• Identify and distil the key issues covered by lectures, tutorials and self-study • Identify and use a range of learning resources • Investigate benefits of small group working on self-study Structure study to accommodate intensive learning
Rhifedd	• Develop an easy familiarity with numerical data sources and numerical data • Apply numerical data to problem solving with care and accuracy • Assess the reasonableness of and interpret numerical solutions • Support assertions/arguments with appropriately developed and presented numerical data Apply complex mathematical formulae
Sgiliau pwnc penodol	Develop competence in understanding and appropriately applying advanced level econometrics models to practice. • Develop competence in understanding the use of classical linear regression in estimation and inference • Develop competence in understanding both the advantages and shortcomings of panel data and the techniques for estimation of panel data models and their application.
Sgiliau ymchwil	• Identify which information sources are available to: o facilitate module study (understanding, wider reading) o provide data which allow application of module learning in a real world context Properly reference/attribute information sources
Technoleg Gwybodaeth	• Use a variety of electronic web- and library-based resources to review available information and retrieve pertinent information Use spreadsheet software to complete elements of the self-study (e.g., for ease of tabulated numerical calculations, production of summary statistics, production of graphs, etc.)

Nodau

Mae'r modiwl hwn yn cydymffurfio a FfCChC Lefel 7