The module will introduce you to various topics drawn from the modern empirical finance literature and to the underlying econometric techniques used to evaluate alternative models of the dynamics of asset prices and returns. Knowledge of basic econometrics (such as that covered by ECON6004 Quantitative Methods) is a pre-requisite. Software such as EViews will be used to give practical illustrations. Successful completion of this module is of particular value if you intend to prepare an empirical dissertation involving financial applications as the final component of your MSc programme.
Aims and Objectives
Having successfully completed this module you will be able to:
- Use appropriate univariate and multivariate time series models for financial market data
- Specify alternative models for modelling volatility
- Demonstrate knowledge and understanding of the key features characterising the behaviour of financial asset prices and returns
A selection from the following, as time permits:
- The Characteristics of Financial Market Data
- Return Predictability and the Efficient Markets Hypothesis
- Empirical Market Microstructure
- Event Study Analysis
- Present Value Relations: Fundamentals versus Bubbles
- Modelling Volatility
Learning and Teaching
Teaching and learning methods
A mix of face-to-face and online lectures and exercises
|Total study time||100|
Resources & Reading list
General:. Additional references to journal articles or working papers, and copies of lecture slides will be provided on Blackboard at the beginning of each topic.
Enders, W. (2015). Applied Econometric Time Series. Wiley.
Linton, O. (2019). Financial Econometrics: Models and Methods. Cambridge University Press.
Guidolin, M. and Pedio, M. (2018). Essential of Time Series for Financial Applications. Academic Press.
Brooks, C. (2019). Introductory Econometrics for Finance. Cambridge University Press.
Summative assessment description
Referral assessment description
Repeat assessment description
Repeat type: Internal & External