Accounting and Finance

Financial Econometrics

Module code: N1611
Level 6
15 credits in autumn semester
Teaching method: Seminar, Lecture
Assessment modes: Coursework, Computer based exam

The objective of this module is to give you a thorough grounding in the econometric methods used to analyse financial data sets.

The module will focus on the techniques used to estimate and test asset pricing models, for example the capital asset pricing model and its extensions. It will introduce some stylised facts of asset returns, emphasising on distributional properties, extreme fluctuations, and time series and cross-sectional dependence.

The module will also cover the forecasting of asset returns and volatility, some more advanced topics in financial econometrics and the use of econometric software typical to the analysis of financial markets.

Module learning outcomes

• Describe and analyze the main distributional features of financial data.
• Explain appropriate specification, estimation and testing of asset pricing models.
• Discuss and evaluate the need for volatility models for financial returns.
• Develop transferable research and analytical skills, critical thinking and technical abilities in data analysis.