FM437
Financial Econometrics
This information is for the 2020/21 session.
Teacher responsible
Dr 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 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
30 hours of lectures in the MT. 30 hours of lectures in the LT.
This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.
Formative coursework
Exercises are provided each week and they are discussed in class.
Indicative reading
The textbook for the Michaelmas Term is Econometrics by Bruce E. Hansen, available online. 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.
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Key facts
Department: Finance
Total students 2019/20: 54
Average class size 2019/20: 54
Controlled access 2019/20: Yes
Value: One Unit
