FM437     
Financial Econometrics

This information is for the 2018/19 session.

Teacher responsible

Mr Thummim Cho and Dr Christian Julliard

Availability

This course is compulsory on the MSc in Finance and Economics and MSc in Finance and Economics (Work Placement Pathway). 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

Ths course covers 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. 22 hours of lectures and 7 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 (45%, duration: 2 hours) in the January exam period.
Exam (45%, duration: 2 hours, reading time: 10 minutes) in the summer exam period.
Coursework (10%) in the MT and LT.

Key facts

Department: Finance

Total students 2017/18: 49

Average class size 2017/18: 17

Controlled access 2017/18: Yes

Lecture capture used 2017/18: Yes (MT & LT)

Value: One Unit

Guidelines for interpreting course guide information

Course survey results

(2014/15 - 2016/17 combined)

1 = "best" score, 5 = "worst" score

The scores below are average responses.

Response rate: 82%

Question

Average
response

Reading list (Q2.1)

2.1

Materials (Q2.3)

2.2

Course satisfied (Q2.4)

2.1

Integration (Q2.6)

2.3

Contact (Q2.7)

1.9

Feedback (Q2.8)

2.1

Recommend (Q2.9)

Yes

55%

Maybe

39%

No

6%