Financial Econometrics

Module code: EC7079

Module co-ordinator: Professor Wojciech Charemza

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

Learning

  • 20 one-hour lectures
  • 10 one-hour tutorials

Assessment

  • Coursework (70%)
  • Exam, 1 hour (30%)