AcF 609 – FINANCIAL ECONOMETRICS
(Spring Term)
Module Tutor
Objectives
To explain how econometric methods can be used to learn about the future behaviour of the prices of financial assets by using the information in the history of asset prices and in the prices of derivative securities.
Text
The main text is Stephen Taylor’s Asset Price Dynamics, Volatility and Prediction published by Princeton University Press in 2005. ISBN: 0-691-11537-5 (hardback) and 0-691-13479-6 (paperback).
Topics
- An introduction to ARMA processes
- Statistical characteristics of returns from financial assets
- Expected returns using time series information
- Modelling changes in volatility using time series information
- High-frequency analysis of market prices
- Volatility expectations implied by options prices
- Probability distributions implied by options prices
- A review of additional econometric methods
- Excel workshops
Assessment
Coursework 25% and examination 75%.
Contact Hours
Minimum of 22.5 hours in total.
