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The University of Southampton
Courses

ECON6043 Financial Econometrics

Module Overview

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

Learning Outcomes

Learning Outcomes

Having successfully completed this module you will be able to:

  • Demonstrate knowledge and understanding of the key features characterising the behaviour of financial asset prices and returns
  • Use appropriate univariate and multivariate time series models for financial market data
  • Specify alternative models for modelling volatility

Syllabus

The main topics to be covered are: - The Characteristics of Financial Market Data - Stationary Time Series: Modelling, Forecasting and Seasonality - Modelling Volatility: GARCH and Related Models - Models with Trends: Unit Roots and Structural Change - Multivariate Time Series Models - Co-integration and Error Correction Models

Learning and Teaching

Teaching and learning methods

.

TypeHours
Independent Study80
Teaching20
Total study time100

Resources & Reading list

Enders, W. (2015). Applied Econometric Time Series. 

Linton, O. (2019). Financial Econometrics: Models and Methods. 

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.

Brooks, C. (2019). Introductory Econometrics for Finance. 

Guidolin, M. and Pedio, M. (2018). Essential of Time Series for Financial Applications. 

Assessment

Summative

MethodPercentage contribution
Examination  (2 hours) 100%

Referral

MethodPercentage contribution
Examination  (2 hours) 100%

Repeat Information

Repeat type: Internal & External

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