Programme And Module Handbook
 
Course Details in 2020/21 Session


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Module Title LM Financial Econometrics
SchoolBirmingham Business School
Department Birmingham Business School
Module Code 07 33938
Module Lead Nick Horsewood
Level Masters Level
Credits 20
Semester Semester 2
Pre-requisites
Co-requisites
Restrictions None
Contact Hours Lecture-40 hours
Seminar-8 hours
Practical Classes and workshops-8 hours
Guided independent study-144 hours
Total: 200 hours
Exclusions
Description The module will focus on the application of econometric techniques in the area of banking and to the field of finance. It will cover microeconometric techniques relevant to analyse bank-related data, the modelling procedures for panel estimation and generalised linear models for limited dependent variables. Other lectures will consider stationary and non-stationary time series processes, the analysis of Vector Autoregressions (VAR), the estimation procedures for cointegrating relationships and generalised autoregressive conditionally heteroscedastic (GARCH) models
Learning Outcomes By the end of the module students should be able to:
  • demonstrate a comprehensive knowledge and understanding of econometric procedures employed to analyse banking data;
  • display an in-depth understanding of econometric techniques for non-stationary data and their application in financial markets;
  • synthesise econometric studies in the empirical literature and critically analyse the results and the approaches adopted;
  • identify and critically appraise recent developments in advanced econometrics techniques used in banking and in finance.
Assessment
Assessment Methods & Exceptions Assessment:
3 hour unseen examination (80%);
1 hour mid-term exam (20%).

Reassessment:
3 hour unseen examination (100%)
Other
Reading List