University of St Andrews - Scotland's first university, founded 1413

Module Catalogue

For information on which modules are specific to your programme, please see : Programme requirements index 2019-2020.

Curricular information may be subject to change.

EC5609 Financial Econometrics

Academic year(s): 2019-2020

Key information

SCOTCAT credits : 20

ECTS credits : 10

Level : SCQF level 11

Semester: 1

Planned timetable: To be arranged.

This module will introduce the students to the theory and practice of financial econometrics. The module will begin by introducing students to the classical linear regression model and a number of issues regarding its application to real world data. The module will then develop a number of time-series techniques that can be applied to the study of financial economics. Topics covered include: the linear univariate stochastic model, multivariate models, unit root processes and co-integration. By the end of the module students should be able to undertake empirical analysis using financial data.

Learning and teaching methods and delivery

Weekly contact: 2 lectures per week (x 9 weeks). 2 hours x 4 weeks of labs

Assessment pattern

As used by St Andrews: 2-hour Written Examination = 50%, Coursework = 50%

Re-assessment: 2-hour Written Examination = 100%

Personnel

Module coordinator: Dr J R Cunha
Module teaching staff: Dr Joao Raphael Cuhna
Module coordinator email joao.cunha@st-andrews.ac.uk