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ES52062: Financial econometrics

[Page last updated: 14 August 2024]

Academic Year: 2024/25
Owning Department/School: Department of Economics
Credits: 5 [equivalent to 10 CATS credits]
Notional Study Hours: 100
Level: Masters UG & PG (FHEQ level 7)
Period:
Semester 2
Assessment Summary: EXCB 70%, EXIC 30%
Assessment Detail:
  • Test (EXIC 30%)
  • Exam (EXCB 70% - Qualifying Mark: 50)
Supplementary Assessment:
Like-for-like reassessment (where allowed by programme regulations)
Requisites: Before taking this module you must take ES52056
Learning Outcomes: At the end of this unit, students will: become familiar with stylized facts of financial time series and their distributional features, and get an overview of the main questions in applied finance literature. understand and interpret market efficiency in a variety of contexts. learn about the CAPM and factor analysis approach and be able to test asset pricing models on the data. be able to model conditional volatility in asset returns. describe Value-at-Risk and related risk management measures. be able to digest and critically evaluate empirical research in finance. develop transferable research and analytical skills as well as technical abilities in data analysis.


Synopsis: Learn how to use econometric methods for testing asset pricing theories and modelling a variety of features in financial markets. You'll study the techniques needed for empirical investigation in financial economics. This will help you to gain a better understanding of crucial concepts like risk, return, and prediction. Throughout this unit, you will focus on how to apply the models you'll learn about to real financial data and contemporary developments in applied financial research.

Content: The unit will cover a range of topics, which will evolve over time to reflect developments in financial econometrics. Topics may include a selection of modelling and testing asset return predictability and the efficient market hypothesis, portfolio choice and testing the capital asset pricing model, multifactor pricing models, asset volatility modelling, event studies, value at risk and tail estimation, among others.

Course availability:

ES52062 is Compulsory on the following courses:

Department of Economics

ES52062 is Optional on the following courses:

Department of Economics

Notes:

  • This unit catalogue is applicable for the 2024/25 academic year only. Students continuing their studies into 2025/26 and beyond should not assume that this unit will be available in future years in the format displayed here for 2024/25.
  • Courses and units are subject to change in accordance with normal University procedures.
  • Availability of units will be subject to constraints such as staff availability, minimum and maximum group sizes, and timetabling factors as well as a student's ability to meet any pre-requisite rules.
  • Find out more about these and other important University terms and conditions here.