Financial Econometrics

ECON60332 Financial Econometrics 15 Semester 2 Postgraduate Taught Level 6 Arthur Sinko Unit coordinator 1 FHEQ level (Framework for Higher Education Qualifications) ' Masters/Integrated Masters P4 ' European Credit Transfer & Accumulation System Rating : 7.5 The aims of this course are to:(i) enable students to understand recent applied literature in core journals of economics and finance which uses time series methods;(ii) provide students with the necessary background to conduct applied empirical work using financial data. The aims of this course are to:(i) enable students to understand recent applied literature in core journals of economics and finance which uses time series methods;(ii) provide students with the necessary background to conduct applied empirical work using financial data. The aims of this course are to: (i) enable students to understand recent applied literature in core journals of economics and finance which uses time series methods; (ii) provide students with the necessary background to conduct applied empirical work using financial data. At the end of this course students should be able to: (i)         identify empirical features and characteristics of various types of financial data (ii)        utilize various statistical/economic modelling techniques to capture the empirical characteristics of the financial data;  (iii)       choose and correctly apply proper estimation, testing and forecasting techniques as dictated by the data and selected model;  (iv)      develop a firm understanding of interrelationships among the data characteristics, modelling techniques and estimation tools; (v)        extensively use computer software to implement the above methods and apply them to economic data This is an MSc-level course unit in Financial Econometrics, which therefore assumes that students have previously taken the equivalent of a whole year undergraduate econometrics course, as well as MSc-level econometrics analysis and have a previous knowledge of programming in R Provisional<ol><li>Linear Models (OLS, MLE), Overview of Statistics</li><li>Univariate/Multivariate Linear Time Series Analysis</li><li>Properties of Financial Data</li><li>Volatility Modelling</li><li>Value-at-Risk and Forecasting</li><li>High-Frequency Data and Market Microstructure</li><li>Realized Variance</li><li>Portfolio allocation and multivariate risk modelling</li></ol> Lectures and tutorials 1 Written exam 80% 2 Written assignment (inc essay) 20% MSc Economics MSc Economics PGDT Taught Component Optional MSc Financial Economics MSc Financial Economics PGDT Taught Component Mandatory N Main textbooks:Tsay Ruey S. (2010): Analysis of Financial Time Series, 3rd edition. New York, NY: John Wiley & Sons available online via the LibraryCampbell, John Y., Andrew W. Lo, and A. Craig MacKinley (1997). The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.Andersen T., Davis R., Kreiß J. and Mikosch T. (2009): Handbook of Financial Time Series, Springer.Other books on some of the topics covered in the class are Brooks, C. (2002): Introductory Econometrics for Finance, Cambridge University Press CambridgeFranses and van Dijk (2000): Nonlinear Time Series Models in Empirical Finance, Cambridge University Press Cambridge.Gourieroux and Jasiak (2001): Financial Econometrics, Princeton University Press, Princeton.McNeil, Frey and  Embrechts (2005): Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press, Princeton.As a supplementary reading on time series econometrics, you may find the following texts useful:  Hamilton, James (1994). Time Series Analysis. Princeton University Press    Lectures 20 Tutorials 10 0 120