Module Catalogues, Xi'an Jiaotong-Liverpool University

Module Code: MTH405
Module Title: Financial Econometrics
Module Level: Level 4
Module Credits: 5.00
Semester: SEM1
Originating Department: Mathematical Sciences
Pre-requisites: N/A

 Aims Financial econometrics is a combination of statistical and mathematical theory and concepts. The objectives of these techniques are to solve problems in finance and to provide a better understanding of connections in economics. Therefore, financial time series analysis plays an important role in financial econometrics. The purpose of this module is to broaden the studentsâ€™ knowledge in econometrics and to introduce them to advanced topics in financial time series analysis. This module is designed to fill the gap between undergraduate courses in econometrics and the recent research and industrial needs in this field.
 Learning outcomes After the successful completion of this module the students should be able To apply the techniques to replicate, to validate and to conduct empirical research. a) To understand the main theories and concepts of financial econometrics, b) To apply the models to real-world data, c) To use statistical software in an appropriate way for financial time series analysis, d) To understand critically recent research articles in financial econometrics
 Method of teaching and learning Lectures, In-class exercises, Computer labs
 Syllabus 1 (1 week) Financial Econometrics: Scope and Methods2 (1 week) Review of Probability and Statistics 2 (2 weeks) Multiple Linear Regression and Logistic Regression 3 (1 week) Linear Regression with Time Series Data 4 (1 week) Exponential Smoothing Methods 5 (2 weeks) Autoregressive Integrated Moving Average (ARIMA) Models 6 (2 weeks) Autoregressive Conditional Heteroskedastic (ARCH) and GARCH Models 7 (3 weeks) Financial time series forecasting with machine learning techniques
Delivery Hours
 Lectures Seminars Tutorials Lab/Prcaticals Fieldwork / Placement Other(Private study) Total Hours/Semester 26 26 98 150

## Assessment

 Sequence Method % of Final Mark 1 Assignment 25.00 2 Class Test 15.00 3 Final Exam 60.00
 Module Catalogue generated from SITS CUT-OFF: 12/10/2019 12:06:47 AM