| CODE | BFI5409 | ||||||||||||
| TITLE | Advanced Financial Econometrics | ||||||||||||
| UM LEVEL | 05 - Postgraduate Modular Diploma or Degree Course | ||||||||||||
| MQF LEVEL | 7 | ||||||||||||
| ECTS CREDITS | 5 | ||||||||||||
| DEPARTMENT | Banking, Finance and Investments | ||||||||||||
| DESCRIPTION | The study-unit revisits very briefly some concepts from MCLRM (heteroscedasticity, multi-collinearity, autocorrelation, non-normality etc) and provides an overview of Limited Dependent Variable models, Logit and Probit. Importantly, it introduces the theory of Univariate time series analysis in discrete time (returns/prices) via AR/MA/ARMA/ARIMA modelling, nonstationarity/integration and testing (Dickey-Fuller, Augmented DF, KPSS, unit root testing etc). Lastly, it familiarizes students with the basic concepts of volatility (risk) modelling, such as Autoregressive Conditional Heteroskedasticity (ARCH) modelling, Generalized ARCH (GARCH) and testing for ARCH/GARCH effects. The unit also assumes prior knowledge of Univariate time series analysis (return/volatility modelling). Hence, it introduces advanced econometrics techniques in modern finance literature (discrete time). Initially, it briefly discusses the concept of Simultaneous Equation Systems, Estimation (IV, 2SLS-3SLS) and Endogeneity/Exogeneity. Next, it delves into the modern framework of Multivariate time series analysis, namely Vector Autoregressive (VAR) modeling (e.g., information criteria testing for lag selection, Variance decomposition, IRFs etc) wherein Causality inference is applied. Next, it presents Cointegration analysis, Error Correction Modeling as well as its multivariate extension i.e., Vector Error Correction (VECM). Lastly, it presents some extensions to basic GARCH models. Study-Unit Aims: The aim of this study-unit is to provide an introduction to Univariate time-series analysis in financial econometrics (discrete time). The students acquire the knowledge of modern econometric techniques in estimating and forecasting financial asset returns and risk (volatility). It emphasizes intuition and problem solving skills rather than formality. In addition, the study-unit familiarizes the students with econometric software. The emphasis is on modern advanced multivariate financial econometrics techniques and their application to real-world problems. It utilizes prior knowledge of Univariate econometric techniques (discrete time) in return/volatility modelling. Upon completion of the study-unit, students should be in a position to perform advanced multivariate statistical analysis of financial data. In that, it also familiarizes students with econometric software for data management and programming (E-views). Learning Outcomes: 1. Knowledge & Understanding: By the end of the study-unit the student will be able to: - Explain MCLRM and LDV/Logit/Probit modeling; - Explain Univariate time series modeling AR/MA/ARMA; - Describe the concepts of nonstationarity and integration; - Explain how basic volatility modeling is done with ARCH/GARCH models; - Explain the concepts of Simultaneous Equation Systems; - Explain Multivariate time series analysis (VAR) and Causality inference; - Explain the concepts of Cointegration, ECM and VECM modeling - List and describe extensions to basic GARCH modelling. 2. Skills: By the end of the study-unit the student will be able to: - Apply time-series analysis in financial econometrics; - Estimate/forecast financial asset returns and risk (volatility); - Use Eviews econometric software to estimate various econometric measures - Apply multivariate time-series analysis in financial econometrics; - Model and estimate long-run relationships in finance; - Apply advanced statistical analysis of financial data with Eviews econometric software. - Perform non-stationarity/unit root testing. Main Text/s and any supplementary readings: - Introductory Econometrics for Finance, Chris Brooks [CB], Cambridge University Press, Eds. 2008, ISBN: 978-0-521-69468-1 Additional Notes:: - New Slides by Prof. Dr. S. Bekiros |
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| ADDITIONAL NOTES | Pre-requisite Qualifications: B.Com. (Hons.) Banking & Finance, B.Com. Banking & Finance Major or equivalent | ||||||||||||
| STUDY-UNIT TYPE | Lecture | ||||||||||||
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The University makes every effort to ensure that the published Courses Plans, Programmes of Study and Study-Unit information are complete and up-to-date at the time of publication. The University reserves the right to make changes in case errors are detected after publication.
The availability of optional units may be subject to timetabling constraints. Units not attracting a sufficient number of registrations may be withdrawn without notice. It should be noted that all the information in the description above applies to study-units available during the academic year 2025/6. It may be subject to change in subsequent years. |
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