Postgraduate Course: Financial Econometrics (MATH11064)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Availability | Not available to visiting students |
| SCQF Credits | 7.5 |
ECTS Credits | 3.75 |
| Summary | To introduce the methods of econometrics and their application to financial data.
This course is only available to students on the MSc Financial Mathematics programme. |
| Course description |
Economic and financial data
Basic econometric methods
Simultaneity, identification
Instrumental variables
Non-spherical disturbances
Collinearity
Multivariate time series methods
Vector autoregression
Granger causality
Unit roots
Cointegration
Error correction models
Generalised method of moments
Applied studies in financial econometric methods
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | MSc Financial Mathematics students only. |
Course Delivery Information
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| Academic year 2015/16, Not available to visiting students (SS1)
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Quota: None |
| Course Start |
Semester 2 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
75
(
Lecture Hours 24,
Seminar/Tutorial Hours 6,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
41 )
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| Additional Information (Learning and Teaching) |
Examination takes place at Heriot-Watt University.
|
| Assessment (Further Info) |
Written Exam
100 %,
Coursework
0 %,
Practical Exam
0 %
|
| Additional Information (Assessment) |
See 'Breakdown of Assessment Methods' and 'Additional Notes' above. |
| Feedback |
Not entered |
| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
|
| Main Exam Diet S2 (April/May) | Financial Econometrics (MATH11064) | 2:00 | |
Learning Outcomes
On completion of this course the student should be able to:
- demonstrate an understanding of the basic econometric methods
- test multivariate time series for characteristics such as Granger causality, unit roots, cointegration
- apply the generalised method of moments to problems involving financial time series
- have a critical understanding of the scope and limitations of econometric methods
- apply the concepts and techniques listed above to the modelling of stock prices, exchange rates and other related financial time series
- formulate and test models for financial time series
- plan and organize through self-management and time-management
- assess issues with working as part of a team
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Reading List
Campbell, Lo & McKinley (1997). The Econometrics of Financial Markets. Princeton University Press.
Engle, R. F. (1995). ARCH: Selected Readings. OUPress.
Greene, W. H. (2003). Econometric analysis. 5th ed., Prentice Hall.
Gujarati, D. N. (2003). Basic econometrics. 4th ed., McGraw-Hill.
Gourieroux, C., & Jasiak, J. (2001). Financial Econometrics: Problems, Models and Methods. Princeton University Press.
Hamilton (1994). Time Series Analysis (Chapters 11 and 17¿20). Princeton University Press.
Maddala, G. S. (2001). Introduction to econometrics. 3rd ed., Wiley.
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Additional Information
| Graduate Attributes and Skills |
Not entered |
| Keywords | FEc |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: |
Course secretary | Mr Brett Herriot
Tel: (0131 6)50 4885
Email: |
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