N1611 Financial Econometrics – Coursework #2
Coursework Guidelines
• This coursework is worth 70% of the total mark for the module.
• The coursework consists of understanding theoretical models, along with data manipulation, analysis and interpretation. Please note that this is NOT a group assignment. Although you may discuss the project with others, the analysis and discussion of the coursework must be done and written individually. You may receive a reduced mark or no mark if there are strong similarities between the work submitted by two or more people.
• This coursework consists of TWO questions. Candidates should attempt ALL questions.
• Your answer to each question should INCLUDE the full references of the articles, books and other sources cited. You may provide the references at the end of your answer and discussion for each question.
• Where to find the material: The material used to answer the questions is on the Canvas site. However, students are expected to do their own research and add various sources.
• STATA output should NOT be copied and pasted directly into the project. You should present your results (e.g.,regression/model output) as they would appear in published academic research papers. (Take a look at some papers --sometimes the output is presented in Tables, sometimes presented as estimated equations with s.e./t-statistics/p-values in parentheses under the corresponding coefficient, together with appropriate diagnostic statistics and their p-values).
• You should always comment on your estimation results, i.e.,what is the intuition behind your empirical findings.
• For GARCH models, the univariate GARCH type models covered in the module can be used primarily to estimate volatility.
• The word count of the project must be printed on the first page of the coursework. The maximum word count is 2000, e.g., this word count could be split across the questions. Tables, references and appendices are not included in the word count.
• Note that your coursework must be submitted electronically via Canvas. Please check the deadline for submitting your work on the Canvas module site (under "Assignments" section). For more information regarding the deadline or questions about submitting your work, please contact the UG School Office (at this email: [email protected]).
• Upload your word (or pdf) document via the "E-submissions" link on the module’s Canvas page by the deadline. There is no need to upload or submit the data estimation file.
• Late submissions will be handled in accordance withuniversity policy. For more information on assessment policies, please see:
