IB9Y6-15 Empirical Finance
Introductory description
The module provides the tools for the empirical analysis of financial time series and their application.
Module aims
The module provides the tools for the empirical analysis of financial time series and their application. It aims to provide students with an understanding of:
i) the theory and tools used in financial econometrics and the ability to carry out empirical analysis of financial time series using a variety of packages
ii) a range of empirical stylised facts drawn from the analysis of financial markets; the rates of efficiency, models of equity returns, the yield curve and exchange rates
iii) volatility and risk modelling
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.
Combining finance theory and econometric techniques, this course introduces the students to the quantitative research in financial economics. It gives an overview of the most important empirical facts and findings in finance, it provides the appropriate econometric tools to estimate and test financial models and it discusses the major results in the recent empirical literature. The course will focus on the statistical properties of asset returns, tests for market efficiency and asset return predictability, the estimation and testing of asset pricing models such as the capital asset pricing model and the arbitrage pricing theory and the estimation of time-varying volatility and the modeling of extreme events in financial markets.
Learning outcomes
By the end of the module, students should be able to:
- Demonstrate an understanding of the limitations and assumptions underlying statistical methods
- Demonstrate a comprehensive understanding of the body of existing empirical results that have been established inequity, fixed income and foreign exchange markets
- Interpret and evaluate published financial research using econometric methods
- Critically interpret results in relation to the statistical/econometric methodology adopted, the financial/economic theory and other empirical findings/stylized facts studied in the course
Indicative reading list
Brooks, C. (2019), Introductory Econometrics for Finance, Cambridge University Press
Campbell, J Y., Lo, A.W. and MacKinley, A.C. (1997), The Econometrics of Financial Markets, Princeton.
Verbeek, M. (2008), A Modern Guide to Econometrics, Wiley.
Tsay, R.S. (2002), Analysis of Financial Time Series: Financial Econometrics, Wiley.
Davidson, R. and MacKinnon, J. G. (2004), Econometric Theory and Methods, Oxford.
Subject specific skills
Formulate and carry out detailed econometric analysis of financial time series
Transferable skills
Written communication
Numeracy (statistical research, using data)
IT (use of statistical software, programming)
Study time
Type | Required |
---|---|
Lectures | 9 sessions of 1 hour (6%) |
Seminars | 8 sessions of 1 hour (5%) |
Other activity | 9 hours (6%) |
Private study | 50 hours (33%) |
Assessment | 74 hours (49%) |
Total | 150 hours |
Private study description
Private Study to include pre-reading and preparation for seminars
Other activity description
1 hr per week will be either a face to face lecture or asynchronous tasks with either online or face-to-face support
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 DB
Weighting | Study time | Eligible for self-certification | |
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Assessment component |
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Class test | 10% | 7 hours | No |
Reassessment component is the same |
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Assessment component |
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Group Report (2000 words) | 20% | 15 hours | No |
Reassessment component is the same |
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Assessment component |
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On-campus Examination | 70% | 52 hours | No |
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Reassessment component is the same |
Feedback on assessment
Feedback will be provided both in-class during seminars plus written feedback both generic and specific.
Courses
This module is Core for:
- Year 1 of TIBS-N300 MSc in Finance
- Year 1 of TIBS-LN1J Postgraduate Taught Finance and Economics