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Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
10 Credits

Econometrics of High Frequency Data

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
  • 10 Credits
  • 100 hours of study
  • 15 contact hours
  • 85 hours for private study
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Qualifications accredited by Lancaster University
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Buildable Qualifications
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Learn Around
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World-Class
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Fully Online

Structure

Software

Module Programme

Introduction: Stylized facts for (Intraday) Financial Returns

Session Content

Univariate GARCH models

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Non-parametric volatility

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Intraday periodicity

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Jumps

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Prerequisites

English Language Requirements

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.

Academic Requirements

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.

Learning Outcomes

Key Skills
  • The basic properties of high-frequency financial series
  • The main continuous time processes
  • The identification of jumps in high-frequency financial series
  • The calculation of the daily volatility from intra-day data.
Desired Skills
  • Understand research papers focusing on intraday financial data
  • Estimate realized volatility and bi-power variation
  • Test the presence of discontinuities in intraday prices
  • Estimate the intraday periodicity the the volatility
  • Understand the concept of Epps effect
  • Calculate realized correlations
  • Apply basic statistical techniques to analyse intraday financial data
  • Work effectively both individually and within a team environment.

Frequently Asked Questions

Are the courses within either programme conducted synchronously or asynchronously?

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.

Is all examination undertaken online or in-person?

All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.

Do I need to buy any statistical/econometric software?

No, all necessary software is provided to students.

What do I do if I can't attend a course live?

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.

A Collaboration Like No Other

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.

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