Financial Econometrics (N1611)

15 credits, Level 6

Autumn teaching

The objective of this module is to give you 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.

Teaching and assessment

We’re currently reviewing teaching and assessment of our modules in light of the COVID-19 situation. We’ll publish the latest information as soon as possible.

Contact hours and workload

This module is approximately 150 hours of work. This breaks down into about 33 hours of contact time and about 117 hours of independent study. The University may make minor variations to the contact hours for operational reasons, including timetabling requirements.

This module is running in the academic year 2019/20. We also plan to offer it in future academic years. It may become unavailable due to staff availability, student demand or updates to our curriculum. We’ll make sure to let our applicants know of such changes to modules at the earliest opportunity.

Courses

This module is offered on the following courses: