FIN30200 Econometrics of Financial Markets

Academic Year 2023/2024

This module aims to provide students with a comprehensive understanding of the econometric techniques used in financial economics. It explains the nature of time series econometrics and demonstrates applications in business, economics and finance. The model will cover the latest econometric tools used in analysing economic and financial time series data. Specifically we focus on issues such as: Stationarity, Cointegration and Error Correction Models, time varying volatility models and regime-switching models. Strong emphasis will be placed on the practical application of such models to real financial data.
Some computer software packages will be used to estimate models and perform diagnostic tests.

Show/hide contentOpenClose All

Curricular information is subject to change

What will I learn?

Learning Outcomes:

At the end of this course students should be able to:
1) Apply the techniques introduced to practical problems in financial economics.
2) Understand and explain the principles underlying the main testing and modelling paradigms in econometric analysis.
3) Apply and assess the methodology of time series analysis in finance.

How will I learn?

Student Effort Type	Hours
Lectures	24
Tutorial	10
Autonomous Student Learning	90
Total	124

Am I eligible to take this module?

Requirements, Exclusions and Recommendations

Learning Recommendations:

Student should have an understanding of the basic concepts in statistics, inference analysis, and matrix operations.

Module Requisites and Incompatibles

Not applicable to this module.

How will I be assessed?

Assessment Strategy

Description	Timing	Open Book Exam	Component Scale	Must Pass Component	% of Final Grade
Continuous Assessment: Continuous assessment through quizzes, homework and practical assignments	Varies over the Trimester	n/a	Graded	Yes	60
Continuous Assessment: Applied Projects	Varies over the Trimester	n/a	Graded	Yes	40

Carry forward of passed components
Yes

What happens if I fail?

Resit In	Terminal Exam
Spring	No

Assessment feedback

Feedback Strategy/Strategies

• Feedback individually to students, post-assessment
• Self-assessment activities

How will my Feedback be Delivered?

Not yet recorded.

Associated Staff

Name	Role
Martina Assereto	Tutor
Miss Yumeng Gao	Tutor
Diego Pérez Guisande	Tutor
Mingchuan Zhou	Tutor

When is this module offered?


Autumn
Lecture	Offering 1	Week(s) - Autumn: All Weeks	Tues 14:00 - 15:50
Tutorial	Offering 1	Week(s) - Autumn: All Weeks	Fri 11:00 - 11:50
Tutorial	Offering 2	Week(s) - Autumn: All Weeks	Fri 12:00 - 12:50
Autumn