Module overview
This module provides you with the opportunity to engage with econometrics theory focusing, in particular, on analysing financial markets and firms' investment and financing decisions. The module will systematically prepare you with the necessary skills to undertake quantitative research using both advanced theoretical knowledge and implementations using econometric software.
Aims and Objectives
Learning Outcomes
Knowledge and Understanding
Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:
- demonstrate a critical understanding of the basic theory of financial econometrics;
- demonstrate a critical understanding of some specific applications of such theory;
- apply such understanding to a specific empirical project;
- have a good understanding of the characteristics of financial data and interpret them within existing economic and/or financial theories;
Transferable and Generic Skills
Having successfully completed this module you will be able to:
- demonstrate skills in utilising analysis software.
- apply knowledge learned in the class to particular problems.
Subject Specific Intellectual and Research Skills
Having successfully completed this module you will be able to:
- apply your understanding on the theory of financial econometrics to a specific empirical project
- demonstrate quantitative skills in evaluating numerical data.
Syllabus
The module offers both fundamental and comprehensive introduction to Quantitative Research in Finance. Students will learn various (fundamental and advanced) methods to analyse financial data.
Topics covered in this module will include.
Part 1: Introduction to the Theory of Econometrics
• Introduction to simple and multiple regression
• Hypothesis testing and the use of diagnostic statistics
• ARCH and GARCH models
• Introduction to Eviews/ Applications of taught subjects using EVIEWS
Part 2: Applications
• Reflections of models on volatility
• Prices, Dividends and Returns
• Volatility Clustering and Volatility Forecasting
Learning and Teaching
Teaching and learning methods
Weekly lectures will provide an overview of the main issues arising in the unit, and will be supplemented by weekly empirical and theoretical exercises. Exercises will support student learning by providing opportunities for students to attempt, and gain feedback on, numerical and problem-solving exercises. Students will also have the opportunity for both directed and non-directed independent reading
The module will be taught by a mixture of methods ranging from guided background reading, lectures, group work and the exploration of mini case studies and datasets. The practical (“Lab”) session actively introduces students to the use of econometrics software in performing “Real World” analyses of financial data.
The lecturer will introduce the concepts, and participants will have the opportunity to practice and apply the methods discussed. We will do a step-by-step analysis of different financial (and wherever required economic) data
Learning activities include:
• Eviews based exercises in class
• A group work
• Discussion of findings in class
| Type | Hours |
|---|---|
| Independent Study | 126 |
| Teaching | 24 |
| Total study time | 150 |
Resources & Reading list
Textbooks
Asterious, G. and S. Hall (2011). Applied Econometrics. Palgrave Mcmillan.
Cuthbertson, K. (1996). Quantitative Financial Economics. Wiley.
Brook, Chris (2008). Introductory Econometrics for Finance. Cambridge University Press.
Assessment
Formative
This is how we’ll give you feedback as you are learning. It is not a formal test or exam.
Computer practicals
- Assessment Type: Formative
- Feedback: Students will get feedback in terms of their success in completing the computer labs following each lecture. Their ability to complete the set tasks will provide feedback on their progress and flag any issues.
- Final Assessment: No
- Group Work: No
Summative
This is how we’ll formally assess what you have learned in this module.
| Method | Percentage contribution |
|---|---|
| Examination | 80% |
| Group Assignment | 20% |
Referral
This is how we’ll assess you if you don’t meet the criteria to pass this module.
| Method | Percentage contribution |
|---|---|
| Examination | 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 |
|---|---|
| Examination | 100% |
Repeat Information
Repeat type: Internal & External