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Masters (MSc) in Finance

Learn the finance essentials; from derivatives and investments, to mergers and acquisitions and global markets.

This master's in finance enables you to work with our award-winning finance experts to build in-demand quantitative skills. You will gain the essential information needed to pursue a range of exciting finance careers at an international level.

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This course is ranked 7th in the UK and 22nd globally (QS Business Masters Rankings 2019)

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The MSc Finance course has both CFA Institute Affiliate status and Economic and Social Research Council (ESRC) status which positions you to progress to a research degree. It is also linked to The Manchester Accounting and Finance Group – one of the leading accounting and finance units in Europe.

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MSc Finance / Course details

Year of entry: 2019

Course unit details:
Time Series Econometrics

Unit code BMAN71122
Credit rating 15
Unit level FHEQ level 7 – master's degree or fourth year of an integrated master's degree
Teaching period(s) Semester 2
Offered by Alliance Manchester Business School
Available as a free choice unit? No

Overview

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.

Pre/co-requisites

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

Aims

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.

Learning outcomes

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

Assessment methods

Written examination (100%) 3 hour

Feedback methods

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.

Recommended reading

Core textbook:

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.

http://faculty.chicagobooth.edu/ruey.tsay/teaching/ 

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.  

Study hours

Scheduled activity hours
Assessment written exam 3
Lectures 30
Independent study hours
Independent study 117

Teaching staff

Staff member Role
Aleksey Kolokolov Unit coordinator
Sungjun Cho Unit coordinator

Additional notes

Informal Contact Methods

Office Hours

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

Lala Jafarli, Azerbaijan, MSc Finance student
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"Alliance MBS provides the opportunity to meet experts from your field of interest. You feel secure around the friendly environment and consistently feel the support of everybody. This year I lived everything to a maximum level; having fun with international friends and studying really hard. In a word, I would say that it was amazing!"

Lala Jafarli, Azerbaijan

MSc Finance, Class of 2015

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