School of Economics and Finance

ECOM073 - Topics in Financial Econometrics

Credits: 15

Module Convenor: Prof Liudas Giraitis

The module builds upon ECOM037 Quantitative Techniques and ECOM053 Quantitative Techniques for Finance, which serve as alternative prerequisites. It will reaffirm the student's understanding of the classical techniques of regression analysis, which will be extended to encompass panel data modelling. The module will also treat the techniques of time-series modelling. It will begin by analysing the classical linear stochastic models that are formulated in discrete time. It will proceed to analyse the models in continuous time that are a feature of modern financial analysis.

Assessment: 80.0% Examination, 20.0% Coursework