Please note to take this course you must first have completed Time Series Econometrics and Forecasting
The purpose of this course is to provide students with an introduction to various methods applicable to high-frequency financial data. This includes the study of the statistical properties of these series such as heteroskedasticity, periodicity, the presence of jumps and microstructure noise.
Different methods will be discussed such as GARCH models, the estimation of the intraday periodicity in volatility, jumps tests but also various non-parametric estimators of the class of the realized volatility
This module can be taken as part of a PG Certificate, PG Diploma or Full Masters Program.
Econometrics of High Frequency Data is an elective 10 credit course and therefore students are expected to input approximately 100 hours of study into the course.
The total number of contact hours is 15 hours. This leaves 85 hours for private study.
This module consists of 2- hour lectures per day for 5 days, plus a 1 - hour tutorial per day.
There will be optional clinics on the last day of the course.
The dates of each lecture are confirmed closer to the start of each term. If you have any questions about dates, please contact edu@timberlake.co.uk.
Both Programmes are open to applicants anywhere in the world. We may ask applicants to provide a recognised English language qualification, dependent upon their nationality and where they have studied/worked previously.
The requirement is an IELTS (Academic) Test with an overall score of at least 6.5, and a minimum of 6.0 in each element of the test. We will also consider other English language qualifications. If their score is below our requirements, they may be eligible for one of Lancaster University's pre-sessional English language programmes.
Applicants to the Postgraduate Certificate of Achievement, Postgraduate Certificate, Postgraduate Diploma or full MSc in either programme require either an upper second-class degree in economics, econometrics or related subjects.
All sessions are conducted live and online at a scheduled time, but are also recorded. Students may attend live and watch the recordings back to recap the material or watch the recordings only if unable to attend live. We always advise students to attend live where possible as this will allow them the best opportunity to engage with the content and ask the lecturer's questions.
All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.
No, all necessary software is provided to students.
All courses are recorded and available on the LUMS internet platform throughout the current academic year. They can therefore be viewed 24 hours a day.
Timberlake Consultants and Lancaster University Management School (LUMS) Economics department have a longstanding partnership; combining 40+ years of industry expertise with over 50 years of academic excellence. We are delighted to build on this with our micro-credential postgraduate courses.