Financial Econometrics

Overview

This unit focuses on the financial models and econometric methods necessary to critically evaluate the risk and return characteristics of various fund-management strategies. Asset-pricing models and market efficiency are tested using econometric models that are popular in banking and finance, using industry-standard software. A core learning outcome is competency with that software. Students work with real and simulated data to specify, estimate, and test the linear regression models and the univariate time-series models that are at the core of the unit. The unit equips students with the conceptual framework and applied skills relevant to quantitative careers in finance and policy.

Topic 1: Introduction

Topic 2: Probability Basics

Topic 3: The Capital Asset Pricing Model (CAPM)

Topic 4: Time Series Basics

Topic 5: Exponential Smoothing

Topic 6: Autoregressive Integrated Moving Average 1

Topic 7: Autoregressive Integrated Moving Average 2

Topic 8: Autoregressive Conditional Heteroscedasticity

Topic 9: Generalised Autoregressive Conditional Heteroscedasticity

Topic 10: Deep Learning and Neural Networks