MA2801: Econometrics for Financial Mathematics
| School | Cardiff School of Mathematics |
| Department Code | MATHS |
| Module Code | MA2801 |
| External Subject Code | 100401 |
| Number of Credits | 10 |
| Level | L5 |
| Language of Delivery | English |
| Module Leader | Dr Kirstin Strokorb |
| Semester | Autumn Semester |
| Academic Year | 2018/9 |
Outline Description of Module
This 10 credit module aims to provide students with an understanding and appreciation of recent developments in empirical finance. The module focuses on empirical modelling techniques and the interpretation of empirical results. It will cover volatility modelling with GARCH and its extensions; asset pricing and factor models; empirical analysis of risk; Logit and Probit analysis for corporate financeequity dynamics and returns; empirical analysis of finance-macroeconomics nexus (interest rate, inflation, the housing market etc.).
On completion of the module a student should be able to
• Establish fundamental concepts in econometrics for financial mathematics;
• Command of econometric modelling techniques
• Set out hypothesis tests
• Utilize estimation techniques and conduct robustness checks
How the module will be delivered
22 fifty-minute lectures. Some handouts will be provided in hard copy or via Learning Central, but students will be expected to take notes of lectures.
Students are also expected to undertake at least 50 hours private study including preparation of worked solutions for tutorial classes.
Skills that will be practised and developed
Skills:
Form the knowledge of the Markovian process and other point process and ability to explain the features and classic examples of these processes; skills to apply econometric modelling techniques to evaluate and interpret financial time series behaviour.
Transferable Skills:
Quantitative skills
Analytic skills
Modelling skills
Oral/discussion skills
Development of independence and autonomy
Questioning skills
Learning skills
Problem solving skills
How the module will be assessed
The assessment is summative and includes both coursework and a final exam.
Coursework will be based on practical lab sessions.
The examination paper has two sections of equal weight. Section A contains a number of compulsory questions of variable length but normally short. Section B has a choice of two from three equally weighted questions.
These assessments aim to provide students the opportunity to demonstrate their overall achievement of learning outcomes. It also allows them to give evidence of the higher levels of knowledge and understanding required for above average marks.
Assessment Breakdown
| Type | % | Title | Duration(hrs) |
|---|---|---|---|
| Exam - Autumn Semester | 70 | Econometrics For Financial Mathematics | 2 |
| Written Assessment | 30 | Coursework | N/A |
Syllabus content
-
Basic linear regression theory.
-
Asset pricing models and simple forecasting modelling.
-
Logit/Probit models & marginal effects.
-
Stationarity/non-stationarity, integration
-
Elementary non-linear modelling
- Introduction to cross-section models.
Background Reading and Resource List
Dougherty, C. 2016. Introduction to Econometrics. 5th ed. Oxford University Press.
Gujarati, D.N., & Porter, D.C. 2009. Essentials of econometrics. 4th ed. McGraw-Hill/Irwin.
Gujarati, D.N., & Porter, D.C. 2014. Econometrics by example. 2nd ed. Palgrave MacMillan.
Asteriou, D., & Hall, S.G. 2015. .Applied econometrics. 3rd ed. Palgrave MacMillan.