This unit studies and develops the econometric models and methods employed for the analysis of financial data arising from financial markets. It extends and complements the material covered in ECMT2130. Topics include: Discrete time financial time series models; modelling and forecasting conditional volatility; modelling of high frequency and/or non-synchronous financial data and the econometrics of market microstructure issues; the pricing of financial derivatives; Value-at-Risk and market risk management. Students will undertake empirical analysis on financial datasets using appropriate computing software.
|ECMT2010 or ECMT2110 or ECMT2030 or ECMT2130 or ECMT2160|
At the completion of this unit, you should be able to:
Unit outlines will be available 1 week before the first day of teaching for the relevant session.