Course Details in 2024/25 Session

Module Title	LM Financial Econometrics
School	Birmingham Business School
Department	Economics
Module Code	07 40066
Module Lead	Dr Marco Barassi
Level	Masters Level
Credits	20
Semester	Semester 1
Pre-requisites
Co-requisites
Restrictions	None
Exclusions
Description	The module gives a solid introduction to Financial Econometrics to graduate students. The module will focus on the theory and application of modern econometric techniques used in the analysis of financial data. It covers various econometric techniques, examples may include: The Classical and the Generalised Linear Regression Models Instrimental Variables and TSLS Panel Data Models Stationary Univariate Time seriea: Estimnation and Forecasting Non Stationary Univariate Time Series Models Vector Autoregression Non-Stationary Multivariate Models: Cointegration Volatility Models The module comprises both theory and applications which will make use of various statistical softwares such as EViews and Stata.
Learning Outcomes	By the end of the module students should be able to: Demonstrate a comprehensive knowledge and understanding of econometric techniques employed to analyse financial data, thus developing business awareness skills. Synthesise econometric studies in the empirical literature and critically analyse the results and the approaches adopted. Critically analyse financial databases and create models using appropriate software; developing ICT and numeracy skills. Identify and critically appraise recent developments in advanced econometrics techniques used in financial economics.
Assessment
Assessment Methods & Exceptions	Assessment: (2000 word equivalent) individual econometric project (e.g. using a simulation or digital platform) and financial report (70%). 1 hour class test (30%). Reassessment: Students resit failed component: (2000 word equivalent) individual econometric project (e.g. using a simulation or digital platform) and financial report (70%). 1 hour class test (30%).
Other
Reading List