School of Economics and Finance

ECOM025 - Financial Econometrics

Credits: 15

Module Convenor: Dr Daniele Bianchi

This module discusses econometric methodology for dealing with problems in the area of financial economics and provides students with the econometric tools applied in the area. Applications are considered in the stock, bond and exchange rate markets.

Students will cover the following issues:

  • Asset returns distributions
  • Predictability of asset returns
  • Econometric tests of capital markets efficiency and asset pricing models
  • Inter-temporal models of time-varying risk premium; nonlinearities in financial data
  • Value at risk
  • Pricing derivatives with stochastic volatility (or GARCH) models
  • Modelling non-synchronous trading
  • Numerical methods in finance.

Assessment: 80.0% Examination, 20.0% Coursework