fin2efm econometrics for fin markets

ECONOMETRICS FOR FINANCIAL MARKETS

FIN2EFM

Not currently offered

Credit points: 15

Subject outline

The purpose of this subject is to introduce students to the theoretical and applied aspects of univariate time series modelling in Finance. The topics to be discussed include the motivation for a time series analysis, difference equations, exponential smoothing, the Box-Jenkins approach to modelling,forcasting testing for non-stationarity and the theoretical and applied aspect of ARCH-GARCH models in Finance. There will be a strong focus on applications and on the use of the EViews econometrics package.

FacultyFaculty of Business, Economics and Law

Credit points15

Subject Co-ordinatorLaszlo Konya

Available to Study Abroad StudentsYes

Subject year levelYear Level 2 - UG

Exchange StudentsYes

Subject particulars

Subject rules

Prerequisites ECO2ISB or ECO2EME or ECO2BFC

Co-requisitesN/A

Incompatible subjects FIN3EFM, ECO2ITE, ECO3ITE

Equivalent subjectsN/A

Special conditionsN/A

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Subject not currently offered - Subject options not available.