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:
- Use appropriate univariate and multivariate time series models for financial market data
- Demonstrate knowledge and understanding of the key features characterising the behaviour of financial asset prices and returns
- Specify alternative models for modelling volatility
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
| Type | Hours |
|---|---|
| Independent Study | 80 |
| Teaching | 20 |
| 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.
Brooks, C. (2019). Introductory Econometrics for Finance. Cambridge University Press.
Enders, W. (2015). Applied Econometric Time Series. Wiley.
Assessment
Summative
This is how we’ll formally assess what you have learned in this module.
| Method | Percentage contribution |
|---|---|
| Assessment | 90% |
| Participation | 10% |
Referral
This is how we’ll assess you if you don’t meet the criteria to pass this module.
| 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.
| Method | Percentage contribution |
|---|---|
| Assessment | 100% |
Repeat Information
Repeat type: Internal & External