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IB2B2-15 Financial Econometrics

Department
Warwick Business School
Level
Undergraduate Level 2
Module leader
Anthony Garratt
Credit value
15
Module duration
10 weeks
Assessment
Multiple
Study location
University of Warwick main campus, Coventry
Introductory description

The module aims to provide a solid grounding in the principles and techniques of modern financial econometrics. In doing so, it will serve as an introduction to key econometric and statistical methods of empirical investigation in Finance and Financial Economics.

Module web page

Module aims

The module aims to equip students with the following competencies, in particular:

  1. Establish the specific characteristics of a financial dataset.
  2. Undertake empirical analysis of financial-markets data.
  3. Understand the features of univariate time-series modelling.
  4. Understand volatility and correlation modelling and their relevance for financial investment decisions.
  5. Use of econometric software packages as tools for quantitative and statistical analysis.
Outline syllabus

This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.

Asset returns and the Efficient Markets Hypothesis.
Present-value relations and returns predictability.
Univariate time-series analysis.
Univariate volatility modelling: ARCH and GARCH.
Correlation and covariance modelling: RiskMetrics.
Portfolio allocation and risk assessment.
Forecast and assessment of market risk (Value-at-Risk).
Non-stationarity and co-integration.
Forecasting and modelling long-run relationships in Finance.
Panel Data: fixed-effects and random-effects models.

Learning outcomes

By the end of the module, students should be able to:

  • Understand the theoretical principles underpinning a suite of introductory econometrics and statistical tools.
  • Select the most appropriate model specification and econometric setup to answer a research question in empirical Finance.
  • Assess the robustness and power of a suite of statistical and econometric techniques for analysing financial data.
Indicative reading list

Brooks C (3rd edition, 2014) Introductory Econometrics for Finance, Cambridge University Press
Campbell J, Lo A and MacKinlay A (1997): The Econometrics of Financial Markets, Princeton University Press
Christoffersen, P (2nd edition, 2012) Elements of Financial Risk Management, Elsevier, Academic Press
Wooldridge, (6th edition, 2016) Introductory Econometrics: A Modern Approach, Cengage

Subject specific skills

Upon successful completion of the module, students will be able to:
(a) carry out robust empirical analysis of cross-sectional, time-series and panel data in Finance.
(b) critically evaluate and replicate aspects of published empirical finance studies.

Transferable skills

Upon successful completion of the module, students will be able to:
(a) design and undertake small inquiry-based projects in empirical finance.
(b) critically evaluate a range of econometric techniques for analysing financial data.

Study time

Type Required
Lectures 10 sessions of 1 hour (7%)
Seminars 9 sessions of 1 hour (6%)
Online learning (independent) 10 sessions of 1 hour (7%)
Private study 49 hours (33%)
Assessment 72 hours (48%)
Total 150 hours
Private study description

No private study requirements defined for this module.

Costs

No further costs have been identified for this module.

You do not need to pass all assessment components to pass the module.

Assessment group D2
Weighting Study time
Group Report 20% 14 hours
In-person Examination 80% 58 hours

Exam


  • Answerbook Gold (24 page)
  • Students may use a calculator
Assessment group R2
Weighting Study time
Individual Assignment 20%
In-person Examination 80%

Exam

Feedback on assessment

In-class and on my.wbs

Past exam papers for IB2B2

Pre-requisites

To take this module, you must have passed:

Courses

This module is Optional for:

  • UIBA-N20B BSc in Management
    • Year 2 of N20B Management
    • Year 2 of N20B Management
    • Year 2 of N23K Management with Accounting
    • Year 2 of N234 Management with Digital Business
    • Year 2 of N235 Management with Entrepreneurship
    • Year 2 of N232 Management with Finance
    • Year 2 of N252 Management with Marketing
    • Year 2 of N23L Management with Strategy and Organisation
  • Year 2 of UIBA-N400 Undergraduate Accounting and Finance
  • Year 3 of UIBA-N403 Undergraduate Accounting and Finance (with Foundation Year)
  • Year 2 of UGEA-RN21 Undergraduate German and Business Studies
  • Year 2 of UIPA-L8N1 Undergraduate Global Sustainable Development and Business
  • UIBA-N20F Undergraduate International Management
    • Year 2 of N20F International Management
    • Year 2 of N20F International Management
    • Year 2 of N20S International Management (with Accounting)
    • Year 2 of N20T International Management (with Chinese)
    • Year 2 of N20P International Management (with Entrepreneurship)
    • Year 2 of N20M International Management (with Finance)
    • Year 2 of N20U International Management (with French)
    • Year 2 of N20L International Management (with Marketing)
    • Year 2 of N20V International Management (with Spanish)
    • Year 2 of N20W International Management (with Strategy and Organisation)
    • Year 2 of N20N International Management with Digital Business
    • Year 2 of N20E Management (with Foundation Year)
    • Year 2 of N234 Management with Digital Business
  • Year 2 of UIBA-MN3B Undergraduate Law and Business Studies
  • UIBA-N20E Undergraduate Management (with Foundation Year)
    • Year 3 of N20E Management (with Foundation Year)
    • Year 3 of N23N Management with Accounting (with Foundation Year and Placement Year)
    • Year 3 of N23M Management with Accounting (with Foundation Year)
    • Year 3 of N23E Management with Digital Business (with Foundation Year)
    • Year 3 of N23F Management with Entrepreneurship (with Foundation Year)
    • Year 3 of N23D Management with Finance (with Foundation Year)
    • Year 3 of N254 Management with Marketing (with Foundation Year)
    • Year 3 of N23P Management with Strategy and Organisation (with Foundation Year)