Module Catalogues, Xi'an Jiaotong-Liverpool University   
 
Module Code: MTH405
Module Title: Financial Econometrics
Module Level: Level 4
Module Credits: 5.00
Academic Year: 2019/20
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 students’ 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 Methods


2 (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