FM437     
Financial Econometrics

This information is for the 2023/24 session.

Teacher responsible

Dr Linyan Zhu (Autumn Term)

Dr Christian Julliard (Winter Term)

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

This 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; introduction to Bayesian econometrics, model selection and model averaging, and large-scale modelling.

Teaching

30 hours of lectures in the AT. 33 hours of lectures in the WT.

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 textbooks for the Autumn Term are Econometrics by Bruce E. Hansen, available online, and Econometrics by Fumio Hayashi. 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; Contemporary Bayesian Econometrics and Statistics, Wiley Series in Probability and Statistics, J. Geweke; selected published articles.

Assessment

Continuous assessment (100%).

Key facts

Department: Finance

Total students 2022/23: 49

Average class size 2022/23: 49

Controlled access 2022/23: Yes

Value: One Unit

Guidelines for interpreting course guide information

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