Financial Econometrics

Learning Outcomes

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

• specify alternative models for modelling volatility
• use appropriate univariate and multivariate time series models for financial market data

Knowledge and Understanding

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
• adequate statistical and econometric methods for analysing and explaining financial data

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

A mix of lectures and masterclasses.

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.