Applied Financial Econometrics (ECMT6006)
UNIT OF STUDY
This unit provides an introduction to some of the widely used econometric models designed for the analysis of financial data, and the procedures used to estimate them. Special emphasis is placed upon empirical work and applied analysis of real market data. The unit deals with topics such as: the statistical nature of financial data; the specification, estimation and testing of assets pricing models; the analysis of high frequency financial data; and the modelling of volatility in financial returns. Throughout the unit, students are encouraged (especially in assignments) to familiarise themselves with financial data and learn how to apply the models to these data.
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assignments (30%), mid-semester test (20%) and 1x2hr final exam (50%)
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Prerequisites and assumed knowledge
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