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DRPS : Course Catalogue : School of Economics : Economics

Undergraduate Course: Applied Financial Econometrics (ECNM10108)

Course Outline
SchoolSchool of Economics CollegeCollege of Arts, Humanities and Social Sciences
Credit level (Normal year taken)SCQF Level 10 (Year 3 Undergraduate) AvailabilityAvailable to all students
SCQF Credits20 ECTS Credits10
SummaryApplied Financial Econometrics provides an introduction to financial econometric theory and practice for students interested in the empirical analysis of financial data.
Course description The aim of the course is to illustrate how statistical and econometric methods can be applied to financial data. It builds on materials covered in Essentials of Econometrics and complements the time series component of Applications of Econometrics. It provides the essential tools for the analysis of dynamics, volatility, and risk in financial markets. Topics covered include autoregressive moving average models, conditional heteroskedasticity models, and value at risk.
The course offers a mixture of theoretical and practical components through lectures, tutorials, and lab exercises. It is designed for students interested in empirical investigations of financial market fluctuations. The learnings goals are for students to evaluate the financial econometrics literature, identify the issues and opportunities in financial time series modelling, and apply the appropriate techniques to financial data using econometrics software.
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Students MUST have passed: Essentials of Econometrics (ECNM10052)
Co-requisites Students MUST also take: Applications of Econometrics (ECNM10056)
Prohibited Combinations Other requirements None
Information for Visiting Students
High Demand Course? Yes
Course Delivery Information
Academic year 2023/24, Available to all students (SV1) Quota:  None
Course Start Semester 2
Timetable Timetable
Learning and Teaching activities (Further Info) Total Hours: 200 ( Lecture Hours 20, Seminar/Tutorial Hours 6, Programme Level Learning and Teaching Hours 4, Directed Learning and Independent Learning Hours 170 )
Assessment (Further Info) Written Exam 75 %, Coursework 25 %, Practical Exam 0 %
Additional Information (Assessment) Essay - 25%
Exam - 75%
Feedback Not entered
Exam Information
Exam Diet Paper Name Hours & Minutes
Main Exam Diet S2 (April/May)2:00
Learning Outcomes
On completion of this course, the student will be able to:
  1. A knowledge and understanding of key issues in financial econometrics, including theoretical models and empirical evidence.
  2. Research and investigative skills such as problem framing and solving and the ability to assemble and evaluate complex evidence and arguments.
  3. Communication skills in order to critique, create and communicate understanding and to collaborate with and relate to others.
  4. Personal effectiveness through task-management, time-management, teamwork and group interaction, dealing with uncertainty and adapting to new situations, personal and intellectual autonomy through independent learning.
  5. Practical/technical skills such as, modelling skills (abstraction, logic, succinctness), qualitative and quantitative analysis and general IT literacy.
Reading List
Additional Information
Graduate Attributes and Skills Not entered
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