ßÏßÏÊÓƵ

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 module will focus on the techniques used to estimate and test asset pricing models, for example the capital asset pricing model and its extensions. It will introduce some stylised facts of asset returns, emphasising on distributional properties, extreme fluctuations, and time series and cross-sectional dependence.

The module 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.

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.

We regularly review our modules to incorporate student feedback, staff expertise, as well as the latest research and teaching methodology. We’re planning to run these modules in the academic year 2024/25. However, there may be changes to these modules in response to feedback, staff availability, student demand or updates to our curriculum.

We’ll make sure to let you know of any material changes to modules at the earliest opportunity.