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Unit information: Quantitative Methods for Finance and Investment in 2018/19

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Unit name Quantitative Methods for Finance and Investment
Unit code EFIMM0005
Credit points 15
Level of study M/7
Teaching block(s) Teaching Block 1 (weeks 1 - 12)
Unit director Dr. Khatoon
Open unit status Not open
Pre-requisites

None

Co-requisites

None

School/department School of Accounting and Finance
Faculty Faculty of Social Sciences and Law

Description

An introduction to econometrics and time series techniques concentrating on those used in finance and investment . This will assist students in the understanding of applied studies in finance and prepare them for a range of optional units in the Spring Term and their dissertation in the summer. Students should be able to understand and use fundamental ideas in linear regression and apply these to panel data, limited dependent variable models, time series and volatility modelling.

Intended learning outcomes

Students should be able to understand and use fundamental ideas in linear regression and apply these to panel data, limited dependent variable models, time series and volatility modelling.

Teaching details

16 hours of lectures, 4 exercise lectures, 5 tutorials

Assessment Details

3 Hour exam will assess all learning outcomes.

The exam will contain questions which in order to answer correctly, students will have to be able to understand and use fundamental ideas in linear regression and apply these to panel data, limited dependent variable models, time series and volatility modelling.

Reading and References

Ashenfelter O.(2003), P.B. Levine & D.J. Zimmerman, Statistics and Econometrics: Methods and Applications, New York, Wiley Brooks C. (2008) Introductory Econometrics for Finance Cambridge University Press Koop Gary (2005) Analysis of Financial Data New York, Wiley Stock, J. H. and M.W. Watson (2008) Introduction to Econometrics, Pearson Education, Inc.

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