Financial Econometrics (N1611)
Financial Econometrics
Module N1611
Module details for 2019/20.
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.
| Type | Timing | Weighting |
|---|---|---|
| Project (2000 words) | Semester 1 Assessment Week 1 Tue 16:00 | 70.00% |
| Coursework | 30.00% | |
| Coursework components. Weighted as shown below. | ||
| Project | T1 Week 9 | 100.00% |
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.
| Term | Method | Duration | Week pattern |
|---|---|---|---|
| Autumn Semester | Seminar | 1 hour | 11111111111 |
| Autumn Semester | Lecture | 2 hours | 11111111111 |
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
https://www.sussex.ac.uk/profiles/427337
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