FI5443 Applied Financial Econometrics

Academic year

2024 to 2025 Semester 1

Further information on which modules are specific to your programme.

Key module information

SCOTCAT credits

20

The Scottish Credit Accumulation and Transfer (SCOTCAT) system allows credits gained in Scotland to be transferred between institutions. The number of credits associated with a module gives an indication of the amount of learning effort required by the learner. European Credit Transfer System (ECTS) credits are half the value of SCOTCAT credits.

SCQF level

SCQF level 11

The Scottish Credit and Qualifications Framework (SCQF) provides an indication of the complexity of award qualifications and associated learning and operates on an ascending numeric scale from Levels 1-12 with SCQF Level 10 equating to a Scottish undergraduate Honours degree.

Availability restrictions

Not available as an optional module for any programme.

Planned timetable

To be arranged.

This information is given as indicative. Timetable may change at short notice depending on room availability.

Module coordinator

Dr X Chen

This information is given as indicative. Staff involved in a module may change at short notice depending on availability and circumstances.

Module Staff

Dr Xing Chen

This information is given as indicative. Staff involved in a module may change at short notice depending on availability and circumstances.

Module description

The aim of this module is to provide students with an understanding of issues involved in the design of research projects within a finance and management discipline. This module aims to use recent seminal published work in selected areas of finance and management to examine issues of research design and methodology and, in doing so, aims to help students develop a critical perspective on research development and its contribution to the practice of finance and management. In particular, the module will cover areas such as identifying research areas, writing a literature review, identifying appropriate research techniques as well as the more technical aspects of quantitative research.

Relationship to other modules

Anti-requisites

YOU CANNOT TAKE THIS MODULE IF YOU TAKE EC5203

Assessment pattern

100% coursework

Re-assessment

100% coursework

Learning and teaching methods and delivery

Weekly contact

2 hour x 10 weeks in person lectures with related discussion and Questions and Answers, 3 hour x 9 weeks in person seminars (involving all students in PC venue)

Scheduled learning hours

36

The number of compulsory student:staff contact hours over the period of the module.

Guided independent study hours

180

The number of hours that students are expected to invest in independent study over the period of the module.

Intended learning outcomes

  • Conduct and interpret OLS regressions
  • conduct diagnostics tests on the residual term and rectify any issues detected
  • Conduct and interpret univariate time series models, and to generate forecasts based on the estimated models.
  • Understand the concept of stationarity, perform cointegration test, and estimate error-correction model
  • Estimate and interpret conditional volatility (GARCH) models, and to perform related diagnostic tests.
  • Estimate and interpret panel regression models, and to perform related diagnostic tests.