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The University of Southampton

ECON6055 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


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

Independent Study80
Total study time100

Resources & Reading list

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

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

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.

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

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



MethodPercentage contribution
Assessment 90%
Participation 10%


MethodPercentage contribution
Assessment 100%


MethodPercentage contribution
Assessment 100%

Repeat Information

Repeat type: Internal & External

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