Financial Econometrics

Module code: EC7079

In this module you will study the application of econometric techniques - mainly time series techniques - to financial markets.

Topics covered

  • Autocorrelation in time series
  • Co-integration of time series
  • Correlation between time series
  • Estimation of volatility using techniques such as exponentially weighted moving average (EWMA)
  • Autoregressive conditional heteroskedasticity (ARCH) and generalised autoregressive conditional heteroskedasticity (GARCH)
  • Volatility term structures
  • Application and use of Monte Carlo techniques
  • Testing for predictability of returns
  • Implications for assumptions of normality in financial market returns
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