Joint-honours information for 2016 entry

Financial Econometrics

Module N1611

Module details for 2016/17.

15 credits

FHEQ Level 6

Module Outline

The objective of this module is to give students a thorough grounding in the econometric methods used to analyse financial data sets. The course will focus on the techniques used to estimate and test asset pricing models, i.e. the capital asset pricing model and its extensions, and will introduce some stylized facts of asset returns, emphasising on distributional properties, extreme fluctuations, and time series and cross-sectional dependence. The course will also cover the forecasting of asset returns and volatility, some more advanced topics in financial econometrics and the use of econometric software typical to the analysis of financial markets.

Module learning outcomes

Describe and analyze the main distributional features of financial data.

Explain appropriate specification, estimation and testing of asset pricing models.

Discuss and evaluate the need for volatility models for financial returns.

Develop transferable research and analytical skills, critical thinking and technical abilities in data analysis.

TypeTimingWeighting
Coursework30.00%
Coursework components. Weighted as shown below.
ProjectT1 Week 11 100.00%
Unseen ExaminationSemester 1 Assessment70.00%
Timing

Submission deadlines may vary for different types of assignment/groups of students.

Weighting

Coursework components (if listed) total 100% of the overall coursework weighting value.

TermMethodDurationWeek pattern
Autumn SemesterLecture2 hours111111111111
Autumn SemesterSeminar1 hour111111111111

How to read the week pattern

The numbers indicate the weeks of the term and how many events take place each week.

Dr Faek Menla Ali

Convenor, Assess convenor
http://www.sussex.ac.uk/profiles/427337

Please note that the University will use all reasonable endeavours to deliver courses and modules in accordance with the descriptions set out here. However, the University keeps its courses and modules under review with the aim of enhancing quality. Some changes may therefore be made to the form or content of courses or modules shown as part of the normal process of curriculum management.

The University reserves the right to make changes to the contents or methods of delivery of, or to discontinue, merge or combine modules, if such action is reasonably considered necessary by the University. If there are not sufficient student numbers to make a module viable, the University reserves the right to cancel such a module. If the University withdraws or discontinues a module, it will use its reasonable endeavours to provide a suitable alternative module.