Financial Econometrics 2

Module overview

This module builds on Financial Econometrics 1 and provides a rigorous foundation for conducting empirical research in finance. It introduces econometric techniques progressively, moving from core concepts to more advanced methods commonly used in academic and applied financial research. Teaching combines theoretical coverage with practical application, enabling students to develop hands-on experience using EViews through applied examples. By the end of the module, students will be able to independently implement econometric models and conduct empirical financial analysis using the software.

Linked modules

Pre-requisite: MANG2074

Aims and Objectives

Learning Outcomes

Transferable and Generic Skills

Having successfully completed this module you will be able to:

Collect and analyse quantitative data

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

Econometric modelling
Cointegration of financial time series
Analyse financial data

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

Use an econometric software package (EViews)
Analyse financial data and solve complex problems
Critically evaluate statistical models and integration tools

Learning and Teaching

Teaching and learning methods

Weekly lectures will provide an overview of the main issues arising in the module. Weekly classes will supplement the lectures which will support student learning by providing opportunities for you to attempt, and gain feedback on, numerical and problem-solving exercises. This will include access to computer labs to conduct primary research via EViews software.

Study time
Type	Hours
Wider reading or practice	22
Tutorial	10
Lecture	24
Revision	60
Follow-up work	24
Preparation for scheduled sessions	10
Total study time	150

Resources & Reading list

Textbooks

Chris Brooks (2019). Introductory Econometrics for Finance. Cambridge University Press.

Greene, W.H. (2000). Econometric analysis. Prentice Hall International Inc.

Marno Verbeek (2012). A Guide to Modern Econometrics. Wiley and Sons.

Ben Vogelvang (2005). Econometrics: theory and applications with EViews.

Assessment

Formative

This is how we’ll give you feedback as you are learning. It is not a formal test or exam.

In-class activities

Assessment Type: Formative
Feedback: There will be substantial written feedback provided on each report and more feedback may be sought from the module leader.
Final Assessment: No
Group Work: No

Summative

This is how we’ll formally assess what you have learned in this module.

Breakdown
Method	Percentage contribution
Examination	50%
Project	50%

Referral

This is how we’ll assess you if you don’t meet the criteria to pass this module.

Breakdown
Method	Percentage contribution
Examination	100%

Repeat

An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.

Breakdown
Method	Percentage contribution
Examination	50%
Project	50%

Repeat Information

Repeat type: Internal & External