Module Catalogues, Xi'an Jiaotong-Liverpool University   
 
Module Code: ECO301
Module Title: Financial Econometrics
Module Level: Level 3
Module Credits: 5.00
Academic Year: 2017/18
Semester: SEM1
Originating Department: International Business School
Pre-requisites: ECO203
   
Aims
The aim of this module is to introduce students to the theory and practice of financial data analysis and the application of econometric models to derive practical conclusions. To this end, students will learn to implement appropriate time series methods, use statistical software, and critically interpret modelling results.
Learning outcomes 
A. Understand which econometric method is most relevant in analysing specific financial problems

B. Acquire a working understanding of time series analysis, especially when applied to financial markets

C.Be able to analyse financial data and interpret results

D. analyse financial data and interpret results

E. Possess technical expertise in econometric software


Method of teaching and learning 
This module will be taught based on lectures, in which students will learn about financial econometrics theory, and tutorials, where students will gain practical experience in utilizing computer software. In addition, tutorials will also be used to solve exercises, which students have worked on at home.
Syllabus 
1. Introduction to financial econometrics

2. Commonly applied statistical distributions and their relevance

3. Overview of estimation methods

4. Unit roots, co-integration and other co-movements in time series

5. Time-varying volatility models: GARCH and stochastic volatility

6. Shock persistence and impulse response analysis

7. Modelling regime shifts: Markov switching models

8. Present value models and tests for rationality and market efficiency

9. Frequency domain analysis of time series

10. Panel data analysis
Delivery Hours  
Lectures Seminars Tutorials Lab/Prcaticals Fieldwork / Placement Other(Private study) Total
Hours/Semester 26     12      112  150 

Assessment

Sequence Method % of Final Mark
1 Midterm Exam 15.00
2 Final Exam 85.00

Module Catalogue generated from SITS CUT-OFF: 10/22/2017 9:35:20 PM