| CODE | BKF3320 | ||||||||
| TITLE | Econometrics for Banking and Finance | ||||||||
| UM LEVEL | 03 - Years 2, 3, 4 in Modular Undergraduate Course | ||||||||
| MQF LEVEL | 6 | ||||||||
| ECTS CREDITS | 4 | ||||||||
| DEPARTMENT | Banking, Finance and Investments | ||||||||
| DESCRIPTION | The study-unit discusses topics such as probability and statistics theory revisit, differential calculus applied to finance, scope of Econometrics for Banking and Finance, data types, the classical linear regression model, OLS assumptions, estimation, sampling, estimator properties of the OLS estimators, precision and standard errors, statistical inference and hypothesis testing, violations of CLRM, heteroscedasticity, nonnormality and autocorrelation, multicollinearity, dummies, parameter stability tests, nonlinear regression, reparameterization, diagnostics, Maximum likelihood, method of moments, Limited dependent variable models etc. The application of techniques is illustrated through the use of Eviews and Excel, both of which students are encouraged to familiarise themselves with, albeit on a preliminary basic level. Study-unit Aims: The aim of this study-unit is to provide and introduction to Financial Econometrics. Econometrics for Banking and Finance is intended to introduce students to basic econometric analytical tools and serve as basis for more advanced econometrics courses. This study-unit emphasizes intuition and problem solving skills rather than formality. It delves into the intuitive understanding of econometric techniques and the extent of information they provide out of data samples. Learning Outcomes: 1. Knowledge & Understanding By the end of the study-unit the student will be able to: - Revisit probability and statistics theory and differential calculus applied to finance; - Learn the scope of Econometrics for Banking and Finance; - Learn and distinguish data types and corresponding modeling techniques suitable; - Acquire knowledge of the classical linear regression model and OLS assumptions; - Learn estimation, sampling, estimator properties of the OLS estimators, precision and standard errors; - Relate statistical inference and hypothesis testing to the CLRM; - Detect and remedy the violations of CLRM; - Learn the concepts of heteroscedasticity, nonnormality, autocorrelation,multicollinearity; - Resolve statistical anomalies with the use of dummies; - Perform parameter stability tests; - Acquire knowledge of nonlinear regression, reparameterization and diagnostics; - Acquire awareness of estimation methods e.g., Maximum likelihood, method of moments etc.; - Familiarize with Limited dependent variable models. 2. Skills By the end of the study-unit the student will be able to: - Apply regression analysis in financial applications; - Able to model, estimate and forecast under the MCLR approach; - Able of understanding of econometric techniques and the extent of information they provide out of data samples; - Become aware of the application of econometrics in finance and banking. Main Text/s and any supplementary readings: - Introductory Econometrics for Finance, Chris Brooks [CB], Cambridge University Press, Eds. 2002, ISBN: 0-521-79367-X |
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| STUDY-UNIT TYPE | Lecture | ||||||||
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| LECTURER/S | Christian Manicaro |
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The University makes every effort to ensure that the published Courses Plans, Programmes of Study and Study-Unit information are complete and up-to-date at the time of publication. The University reserves the right to make changes in case errors are detected after publication.
The availability of optional units may be subject to timetabling constraints. Units not attracting a sufficient number of registrations may be withdrawn without notice. It should be noted that all the information in the description above applies to study-units available during the academic year 2023/4. It may be subject to change in subsequent years. |
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