Module Catalogues, Xi'an Jiaotong-Liverpool University   
Module Code: ECO301
Module Title: Financial Econometrics
Module Level: Level 3
Module Credits: 5.00
Academic Year: 2020/21
Semester: SEM1
Originating Department: International Business School Suzhou
Pre-requisites: ECO203
The aim of this module is to introduce students to the theory and practice of financial data analysis and the application of econometric models to derive practical conclusions. To this end, students will learn to implement appropriate time series methods, use statistical software, and critically interpret modelling results.
Learning outcomes 
A. Understand which econometric method is most relevant in analyzing specific financial problems

B. Acquire a working understanding of time series analysis, especially when applied to financial markets

C. Be able to analyze financial data and interpret results

D. Possess technical expertise in econometric software

Method of teaching and learning 
This module will be taught based on lectures, in which students will learn about financial econometrics theory, and tutorials, where students will gain practical experience in utilizing computer software. In addition, tutorials will also be used to solve exercises, which students have worked on at home.
1. Introduction to financial econometrics

2. Commonly applied statistical distributions and their relevance

3. Overview of estimation methods

4. Unit roots, co-integration and other co-movements in time series

5. Time-varying volatility models: GARCH and stochastic volatility

6. Stationarity

7. ARMA Models

8. Vector Autoregressive Model

9. Value at Risk

10. Expected Shortfall and Extreme Value
Delivery Hours  
Lectures Seminars Tutorials Lab/Prcaticals Fieldwork / Placement Other(Private study) Total
Hours/Semester 26     12      112  150 


Sequence Method % of Final Mark
1 Group Coursework 35.00
2 Final Exam 65.00

Module Catalogue generated from SITS CUT-OFF: 6/3/2020 1:37:41 AM