Module Details

BE356-7-SP-CO: Financial Modelling

Year: 2016/17
Department: Essex Business School
Essex credit: 20
ECTS credit: 10
Available to Study Abroad / Exchange Students: No
Full Year Module Available to Study Abroad / Exchange Students for a Single Term: No
Outside Option: No

Staff
Supervisor: Prof Simon Price
Teaching Staff: Prof Simon Price and Dr Dimitris Korobilis
Contact details: Email: s.g.price@essex.ac.uk

Module is taught during the following terms
Autumn Spring Summer

Module Description

The purpose of this module is to provide an introduction to selected topics in financial econometrics that may be useful for financial research.

AIMS

The main aims of the module are:

1. to enable students to acquire the skills and techniques necessary to understand and critically evaluate the research areas covered;
2. to enable students to develop and apply a subset of those skills and techniques in coursework.


OBJECTIVES

This module enables students to be able:

1. to understand to understand and apply the following methods: basic statistical procedures and matrix algebra, hypothesis testing techniques, maximum likelihood estimation, VARs, SUR, cointegration, high-frequency data analysis, ARCH and GARCH and MGARCH, tests of the EMH, predictability of asset returns, long horizon regressions, time variation in returns, forecasting and forecast evaluation, panel methods including fixed and random effects, dynamic micro and macro panels and cross-sectional dependence
2. to be familiar with MATLAB and be able to implement financial applications


Skills for your professional life (Transferable Skills)

The course will deliver several skills that will be useful in your future professional life. These include

- Written Communication (through coursework)
- Research Skills (a key objective in this module)
- Critical Thinking
- Digital and Technical Fluency (using econometric software)
- Data and Analytics



Learning and Teaching Methods

10 x 2hr lectures and 5 x 2hr labs in spring term
Revision lecture in summer term

Assessment

50 per cent Coursework Mark, 50 per cent Exam Mark

Coursework

Coursework consists of one take-home assignment (50% weighting)

Exam Duration and Period

2:00 during Summer Examination period.

Other information

This module is compulsory for:

MSc in Financial Engineering and Risk Management

Postgraduate Administrator - Jade D'Mello
Email: ebspgtad@essex.ac.uk

Further information

External Examiner Information

  • Name: Prof Robert Hutchinson
    Institution: University of Ulster
    Academic Role: Emeritus Professor