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Module Title
LM Applied Financial Econometrics
School
Birmingham Business School
Department
Economics
Module Code
07 40055
Module Lead
Sharin McDowall-Emefiele
Level
Masters Level
Credits
20
Semester
Semester 1
Pre-requisites
Co-requisites
Restrictions
None
Exclusions
Description
The module will focus on the application of modern econometric techniques used in the analysis of financial data, with emphasis placed on interpreting econometric results and critically evaluating the techniques employed. It will start with a technical review of the classical linear model, examining the implications when the key assumptions are violated. This will be followed by a general survey of the main techniques in the financial applications. It also covers the modelling procedures for panel estimation and generalised linear models for limited dependent variables.
Learning Outcomes
By the end of the module students should be able to:
Apply and evaluate econometric procedures employed to analyse financial data.
Critically evaluate the results and the approaches adopted.
Critically analyse financial databases and create dynamic models using appropriate software, thereby developing key transferrable skills for banking and finance graduates.
Identify and critically appraise recent developments in advanced econometrics techniques used in banking and in finance.
Develop complex problem solving, digital, analytical and advanced numeracy skills.
Assessment
40055-01 : Individual Report : Coursework (50%)
40055-02 : Class Test : Class Test (50%)
Assessment Methods & Exceptions
Assessment:
(1500 word equivalent) individual computer project and report (50%).
1.5 hour class test (50%).
Reassessment:
Resubmission of failed component(s):
(1500 word equivalent) individual computer project and report (50%).
