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AC.F609: Financial Econometrics


Department: Accounting and Finance NCF Level: FHEQ/QCF/NQF7//RQF7
Study Level: Postgraduate (Masters level) Credit Points: 15
Start Date: 14-01-2019 End Date: 12-04-2019
Available for Online Enrolment?: N Enrolment Restriction: Fully available to all students
Module Convenor: Dr S Nolte

Syllabus Rules and Pre-requisites

Curriculum Design: Outline Syllabus

  • -        To explain how econometric methods can be used to learn about the future behaviour of the prices of financial assets by using the information in the history of asset prices and in the prices of derivative securities.

    -        To provide students with practical experience of analysing market prices.

  • 75% Exam
  • 25% Coursework

Educational Aims: Subject Specific: Knowledge, Understanding and Skills

  • On completion of this module a student should:

     

    -        understand the important features of time series of market prices;

    -        appreciate the relevance of efficient market theory to predicting prices;

    -        be familiar with the latest methods for forecasting price volatility;

    -        be able to use option prices to make statements about the distributions of future asset prices;

    -        have acquired experience of applying computational methods to market data;

    -        be informed about a broad range of econometric methods that are applied in Finance research.

     

Learning Outcomes: Subject Specific: Knowledge, Understanding and Skills

  • Ability to:

    - Understand the important features of time series of market prices

    - Appreciate the relevance of efficient market theory to predicting prices

    - Be familiar with the latest methods for forecasting price volatility

    - Be able to use option prices to make statements about the distributions of future asset prices

    - Have acquired experience of applying computational methods to market data

    - Be informed about a broad range of econometric methods that are applied in Finance research

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