Course Details in 2022/23 Session

Module Title	LM Financial Econometrics
School	Birmingham Business School
Department	Economics
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	33938-01 : Class Test : Class Test (25%) 33938-02 : Computer Project : Coursework (25%) 33938-03 : 2Hr Exam : Exam (Centrally Timetabled) - Written Unseen (50%)
Assessment Methods & Exceptions	Assessment: 1 hour class test (25%) & computer based project (25%) & 2 hour exam (50%) Reassessment: Students only resit the failed components
Other
Reading List