FM437
Financial Econometrics
This information is for the 2015/16 session.
Teacher responsible
Dr Christian Julliard, Dr Daniel Paravisini Maggi and Dr Vassilis Hajivassiliou
Availability
This course is compulsory on the MSc in Finance and Economics. This course is available on the MPhil/PhD in Accounting. This course is not available as an outside option.
Pre-requisites
Mathematical background to the level of the course taught in September in the Economics Department (EC400) is assumed.
Course content
The techniques of empirical investigation in economics and finance. Students are introduced to recent empirical findings based on asset pricing and corporate finance models. The course includes a selection of the following topics: multivariate regression; maximum likelihood and methods of moments estimation; hypothesis testing; omitted variables and misspecification; asymptotic theory; measurement error and instrumental variables; time-series modelling; predictability of asset returns; event study analysis; econometric tests of the CAPM and multifactor models; volatility modelling; generalised method of moments estimation.
Teaching
22 hours of lectures and 10 hours of seminars in the MT. 27 hours of lectures and 10 hours of seminars in the LT.
Formative coursework
Exercises are provided each week and they are discussed in class.
Indicative reading
A complete reading list is available at the beginning of session. Will be based on Greene, Econometric Analysis, Prentice-Hall; Campbell, Lo & MacKinlay, The Econometrics of Financial Markets, Princeton University Press; Econometric Analysis of Cross Section and Panel Data, J. Wooldridge; selected published articles.
Assessment
Exam (100%, duration: 3 hours) in the main exam period.
Key facts
Department: Finance
Total students 2014/15: 53
Average class size 2014/15: 18
Controlled access 2014/15: Yes
Lecture capture used 2014/15: Yes (MT)
Value: One Unit
Course survey results
(2011/12 - 2013/14 combined)
1 = "best" score, 5 = "worst" scoreThe scores below are average responses.
Response rate: 80.5%
Question |
Average | ||||||
---|---|---|---|---|---|---|---|
Reading list (Q2.1) |
2.3 | ||||||
Materials (Q2.3) |
2.1 | ||||||
Course satisfied (Q2.4) |
2.1 | ||||||
Lectures (Q2.5) |
2 | ||||||
Integration (Q2.6) |
2.4 | ||||||
Contact (Q2.7) |
2.2 | ||||||
Feedback (Q2.8) |
2.5 | ||||||
Recommend (Q2.9) |
|