Financial Econometrics 1

Learning Outcomes

Transferable and Generic Skills

Having successfully completed this module you will be able to:

• collect and analyse quantitative data
• demonstrate skills in utilizing analysis software

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

• demonstrate quantitative skills in evaluating numerical data and answer complex problems
• use an econometrics software package (Eviews)
• some specific applications of such financial theory

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

• the basic theory of financial econometrics
• the role empirical research has in finance and the limitations of such research
• analyse financial data

Structure of linear models

Functional forms

Log linear models

Quadratic models

Lags

Dummy variables Exploring data

Descriptive statistics

Outliers

Missing data

Regression analysis

Ordinary least squares (OLS) estimator

Classical OLS assumption

Statistical significance

Specification tests

Testing for violation of assumptions and their implications

• Heteroskedasticity

Autocorrelation

Multicollinearity

Endogeneity

Teaching and learning methods

Weekly lectures will provide an overview of the main issues arising in the module.

Weekly classes will supplement the lectures which will support student learning by providing opportunities for you to attempt, and gain feedback on, numerical and problem-solving exercises. This will include access to computer labs to conduct primary research via EViews software as well as in the Bloomberg suite to access and analyse real-time financial data.

Resources & Reading list

Textbooks

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

Marno Verbeek (2012). A Guide to Modern Econometrics. Wiley and Sons.

Greene, W.H. (2000). Econometric analysis. Prentice Hall International Inc.

Formative

This is how we’ll give you feedback as you are learning. It is not a formal test or exam.

Summative

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

Referral

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

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.

Repeat Information

Repeat type: Internal & External