Financial Econometrics | ECON6055 | University of Southampton

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

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

Syllabus

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

Study time
Type	Hours
Teaching	20
Independent Study	80
Total study time	100

Resources & Reading list

General Resources

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.

Textbooks

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.

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

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

Assessment

Summative

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

Breakdown
Method	Percentage contribution
Participation	10%
Assessment	90%

Referral

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

Breakdown
Method	Percentage contribution
Assessment	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
Assessment	100%

Repeat Information

Repeat type: Internal & External