ULMS Electronic Module Catalogue |
The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module. |
Title | Financial Econometrics | ||
Code | ACFI901 | ||
Coordinator |
Dr M Stamatogiannis Finance and Accounting M.Stamatogiannis@liverpool.ac.uk |
||
Year | CATS Level | Semester | CATS Value |
Session 2024-25 | Level 7 FHEQ | First Semester | 15 |
Pre-requisites before taking this module (other modules and/or general educational/academic requirements): |
Modules for which this module is a pre-requisite: |
Programme(s) (including Year of Study) to which this module is available on a required basis: |
Programme(s) (including Year of Study) to which this module is available on an optional basis: |
Teaching Schedule |
Lectures | Seminars | Tutorials | Lab Practicals | Fieldwork Placement | Other | TOTAL | |
Study Hours |
20 |
5 |
25 | ||||
Timetable (if known) | |||||||
Private Study | 125 | ||||||
TOTAL HOURS | 150 |
Assessment |
||||||
EXAM | Duration | Timing (Semester) |
% of final mark |
Resit/resubmission opportunity |
Penalty for late submission |
Notes |
Examination Standard UoL penalties apply Marked anonymously There is a resit opportunity | 2 | 80 | ||||
Mid-term test Standard UoL penalties apply Marked anonymously There is a resit opportunity | 1 | 20 | ||||
CONTINUOUS | Duration | Timing (Semester) |
% of final mark |
Resit/resubmission opportunity |
Penalty for late submission |
Notes |
Aims |
|
The aim of this module is to provide students with a solid foundation in the statistical and econometric techniques that allow them to conduct independent empirical investigations in economics and finance. The approach centres on the linear multiple regression methods, including their use in estimating and testing the validity of models in economics and finance. The aims are that students will: Understand aspects of the theories and principles of econometric analysis in economics and finance; Be aware of a range of inferential techniques commonly employed in econometrics; Understand the limitations of such techniques in different circumstances. |
Learning Outcomes |
|
(LO1) Students will be able to discuss, evaluate and apply a range of mathematical and statistical techniques necessary for understanding and using econometrics methodology in finance and economic development. |
|
(LO2) Students will be able to use a number of statistical and econometric packages in real (simple) applications. |
|
(LO3) Students will be able to formulate, estimate and test a wide range of linear and non-linear models commonly encountered in financial analysis. |
|
(S1) Problem solving |
|
(S2) Numeracy |
|
(S3) IT skills |
|
(S4) Communication skills |
|
(S5) Time management |
Teaching and Learning Strategies |
|
2 hour lecture x 10 weeks |
Syllabus |
|
Introduction of quantitative research techniques; Reviews of probability and statistics; Least squares estimation; Inference and hypothesis testing; Specification and functional form; Heteroskedasticity; Autocorrelation; Introductory time-series analysis; Simulation analysis; Technical analysis; Finance applications and examples; Software and data sources: Eviews, Bloomberg, Datastream etc. |
Recommended Texts |
|
Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module. |