Topics covered
- Unit 1: Statistical Properties of Financial Returns
- Unit 2: Matrix Algebra, Regression and Applications in Finance
- Unit 3: Maximum Likelihood Estimation
- Unit 4: Univariate Time Series and Applications to Finance
- Unit 5: Modelling Volatility – Conditional Heteroscedastic Models
- Unit 6: Modelling Volatility and Correlations – Multivariate GARCH Models
- Unit 7: Vector Autoregressive Models
- Unit 8: Limited Dependent Variable Models
Assessment
- one three-hour unseen written examination (70%)
- two tutor marked assignments (30%)
Essential reading
- Brooks, C (2014) Introductory Econometrics for Finance, 3rd Edition, Cambridge University Press.