Financial Econometrics 2

Module overview

The module is intended to build on Financial Econometrics 1 and offers a deep understanding to undertake empirical research in finance. Lectures will cover topics from introductory level to more advanced econometrics material. The students will learn how to use the EViews software through practical examples, and be able to conduct their own empirical research via the software.

Linked modules

Pre-requisite: MANG2074

Aims and Objectives

Learning Outcomes

Transferable and Generic Skills

Having successfully completed this module you will be able to:

Collect and analyse quantitative data

Knowledge and Understanding

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

Analyse financial data
Econometric modelling
Cointegration of financial time series

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

Critically evaluate statistical models and integration tools
Use an econometric software package (EViews)
Analyse financial data and solve complex problems

Learning and Teaching

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.

Study time
Type	Hours
Tutorial	10
Preparation for scheduled sessions	10
Wider reading or practice	22
Revision	60
Lecture	24
Follow-up work	24
Total study time	150

Resources & Reading list

Textbooks

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

Ben Vogelvang (2005). Econometrics: theory and applications with EViews.

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

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

Assessment

Formative

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

In-class activities

Assessment Type: Formative
Feedback: There will be substantial written feedback provided on each report and more feedback may be sought from the module leader.
Final Assessment: No
Group Work: No

Summative

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

Breakdown
Method	Percentage contribution
Project	50%
Examination	50%

Referral

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

Breakdown
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.

Breakdown
Method	Percentage contribution
Examination	50%
Project	50%

Repeat Information

Repeat type: Internal & External