Financial markets are undergoing rapid evolution. In this dynamic era, it's crucial for financial participants to leverage modern technology to uncover the intrinsic value of financial assets and analyse economic activities. You'll explore the practical application of financial theories, prioritising their use over the derivation of proofs or the memorisation of formulas. You’ll be brought up to date with all the recently developed approaches in the field - accessible without prior knowledge of econometrics. Through applying statistical and econometric techniques within a financial context, you’ll develop and implement effective tools for financial analysis and planning models. By the end of the module, you’ll have the ability to utilise various financial models and theories to address real world challenges in your career.
Private study hours: 114
Contact hours: 36
Total hours: 150
Main assessment methods:
Individual report (2500 words) (70%)
Group report (2000 words) (30%)
Reassessment method:
100% coursework
Alexander, C. (2008) Market Risk Analysis, Volume II: Practical Financial Econometrics, Wiley.
Brooks, C. (2019) Introductory Econometrics for Finance, 4thEdition, Cambridge University Press.
Greene, W.H. (2018) Econometric Analysis, 8th Edition, Pearson.
Tsay, R. (2010) Analysis of Financial Time Series, 3rd Edition, Wiley-Interscience.
See the library reading list for this module (Canterbury)
The intended specific learning outcomes.
On successfully completing the module students will be able to:
- Demonstrate a comprehensive understanding of the major econometric methods.
- Demonstrate a comprehensive understanding of the application of traditional regression as well as the recent and on-going time series econometric techniques.
- Critically appreciate the various concepts and principles under which financial models are constructed, estimated, tested, forecasted and simulated.
- Use subject knowledge to analyse the problem and provide a reasoned response to that problem in the context of Finance, Accounting, Financial Economics and Business Studies.
- Critically interpret the econometric results by relating them to theoretical, institutional, structural and policy framework of the financial firms, industries, government, institutions and international organisations under review with a view to make statistical results plausible as well as appealing to the investors, practitioners and policy makers.
The intended generic learning outcomes.
On successfully completing the module students will be able to:
- Develop and define complex arguments and provide critical insights on the practical financial, business, institutional and policy problems using appropriate financial models to estimate, test, evaluate, forecast and simulate theories and hypotheses.
- Read, critically summarise and evaluate transactions and economic events related to financial management and derivative securities.
- Apply numerical skills to solve complex numerical problems.
- Locate, extract, and critically analyse data from different sources, to be presented in an appropriate format.
- Plan and work independently using various learning resources.
- Work within groups, share ideas with each other and discuss the relevant issues/results by positively responding to constructive criticism.
- Use information technology to acquire, analyse, and communicate effectively.
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