Essex Business School
Postgraduate: Level 7
Monday 13 January 2020
Friday 20 March 2020
03 September 2019
Requisites for this module
MSC L11412 Financial Econometrics,
MSC N34212 Financial Engineering and Risk Management
The purpose of this module is to provide an introduction to core topics in financial econometrics that are useful in financial research. It is a relatively technical course that will suit students with some econometrics background who are comfortable with technical material. While practically oriented, it does involve some theoretical econometric material.
The main aims of the module are:
1. To enable students to acquire the skills and techniques necessary to understand and critically evaluate the research areas covered;
2. To enable students to develop and apply a subset of those skills and techniques in coursework.
On successful completion of the module, students will:
1. Understand and apply the following methods: OLS, hypothesis testing techniques, VARs, SUR, ARCH, GARCH and HAR, non-stationarity and cointegration, tests of the EMH, predictability of asset returns, long-horizon regressions, time variation in returns, point and density forecasting and forecast evaluation.
2. Be familiar with econometric software (primarily EViews) and be able to implement financial applications.
Skills for Your Professional Life (Transferable Skills)
The course will deliver skills that will be useful in your future professional life including:
1. Written Communication (through coursework).
2. Research Skills (a key objective in this module).
3. Critical Thinking.
4. Digital and Technical Fluency (using econometric software).
5. Data and Analytics.
The main learning and teaching methods are the lectures and classes. There are additional contact hours with lecturers outside the classroom available to students.
- (2009) Palgrave Handbook of Econometrics, London: Palgrave Macmillan UK.
- Taylor, Stephen. (c2005) Asset price dynamics, volatility, and prediction, Princeton, N.J.: Princeton University Press.
- Campbell, John Y; Lo, Andrew W.; MacKinlay, Archie Craig. (c1997) The econometrics of financial markets, Princeton, N.J.: Princeton University Press.
- Brooks, Chris. (2014) Introductory econometrics for finance, Cambridge: Cambridge University Press.
- Diebold, Francis X. (c1998) Elements of forecasting, Cincinnati, Ohio: South-Western College.
The above list is indicative of the essential reading for the course. The library makes provision for all reading list items, with digital provision where possible, and these resources are shared between students. Further reading can be obtained from this module's reading list.
Module supervisor and teaching staff
Prof Simon Price and Dr Chiara Banti
Dr Nikolaos Papanikolaou
Senior Lecturer in Accounting & Finance
Available via Moodle
Of 31 hours, 22 (71%) hours available to students:
9 hours not recorded due to service coverage or fault;
0 hours not recorded due to opt-out by lecturer(s).
Disclaimer: The University makes every effort to ensure that this information on its Module Directory is accurate and up-to-date. Exceptionally it can
be necessary to make changes, for example to programmes, modules, facilities or fees. Examples of such reasons might include a change of law or regulatory requirements,
industrial action, lack of demand, departure of key personnel, change in government policy, or withdrawal/reduction of funding. Changes to modules may for example consist
of variations to the content and method of delivery or assessment of modules and other services, to discontinue modules and other services and to merge or combine modules.
The University will endeavour to keep such changes to a minimum, and will also keep students informed appropriately by updating our programme specifications and module directory.
The full Procedures, Rules and Regulations of the University governing how it operates are set out in the Charter, Statutes and Ordinances and in the University Regulations, Policy and Procedures.