Course unit details:
Time Series Econometrics
||FHEQ level 7 – master's degree or fourth year of an integrated master's degree
||Alliance Manchester Business School
|Available as a free choice unit?
Given this is a second semester course in econometrics it is assumed you have basic knowledge of quantitative methods and statistics. In particular, it is assumed that you have an understanding of linear regression, hypothesis testing and diagnostic testing. Some of these topics will be reviewed in lectures when necessary. It is also assumed that you understand the basics of Matrix Algebra. These are covered in virtually every econometrics text. You should also read chapters 1 and 2 of Tsay (2010) before the course starts.
The course unit comprises a series of 3-hour lectures covering theory and practice. In addition students are required to attend nine to ten one-hour lab classes which explain how to use MATLAB to estimate the various models and methodologies covered in class. Full details of the lab sessions will be provided at the start of the course and posted on Blackboard. Students are expected to complete review questions and lab exercises provided online to enhance their learning.
BMAN71122 Programme Req: BMAN71122 is only available as a core unit to students on MSc Finance and MSc QF, and as an elective to students on MSc A&F
The aims of this course are to introduce students to important econometric techniques that are used in time series analysis and to facilitate awareness in students of how these techniques can be used and applied in empirical finance.
On completion of this unit successful students will have achieved the following learning outcomes:
• A detailed knowledge and understanding of advanced techniques and skills in time series Econometrics
• A systematic knowledge and understanding of issues at the forefront of research a practice in finance
• A knowledge and understanding of basic research skills and empirical methods in finance
Written examination (100%) 3 hour
Informal advice and discussion during a lecture, seminar, workshop or lab.
Online exercises and quizzes delivered through the Blackboard course space.
Responses to student emails and questions from a member of staff including feedback provided to a group via an online discussion forum.
Written and/or verbal comments on assessed or non-assessed coursework.
Generic feedback posted on Blackboard regarding overall examination performance.
Ruey S. Tsay (2010) 3rd ed., Analysis of Financial Time Series, Wiley.
Taylor, S. J. (2009) Asset Price Dynamics, Volatility, and Prediction. Princeton University Press. Princeton.
These texts cover the majority of the material delivered in this course unit, it is strongly advised that you purchase this text. Older versions of the text also cover the most of the material.
You may also find it useful to access the materials available from the Tsay’s website accompanying the adopted text.
The relevant reading in Tsay (2010) and Taylor (2009) is given in the syllabus below and additional references may be given in lectures where appropriate.
In addition to this recommended text you should undertake supplementary reading of appropriate econometric texts where necessary to support your learning. In particular, you may find the following texts useful:
Mikosch, T., Kreiß, J. P., Davis, R. A., and Andersen, T. G. (2009) Handbook of financial time series. Berlin: Springer.
Brockwell, Peter J. & Davis, Richard A. (1991) Time series: theory and methods.
2nd ed. New York, Springer.
All teaching materials, handouts, datasets, etc. will be available from Blackboard and additional announcements and discussion questions will be posted on Blackboard. You should direct all questions regarding course content to the online forum.
|Scheduled activity hours
|Assessment written exam
|Independent study hours
Informal Contact Methods
Online Learning Activities (Blogs, discussions, self-assessment questions)
Drop in Surgeries (extra help sessions for students on material they may be struggling with)
Return to course details