Accessibility statement

Financial Econometrics - ECO00021H

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  • Department: Economics and Related Studies
  • Module co-ordinator: Dr. Fabrizio Iacone
  • Credit value: 10 credits
  • Credit level: H
  • Academic year of delivery: 2021-22
    • See module specification for other years: 2022-23

Related modules

Pre-requisite modules

Co-requisite modules

  • None

Prohibited combinations

  • None

Module will run

Occurrence Teaching period
A Spring Term 2021-22

Module aims

  • To introduce advanced econometric techniques that are used both in the applied literature and in the professional analysis of financial data
  • To provide critical empirical discussion of some important financial models

Module learning outcomes

On completing the module a student will be able to:

  • Read empirical financial literature
  • Apply and interpret econometric techniques used in finance
  • Apply econometric methods in finance using standard software (EViews)
  • Undertake more advanced study in time series analysis
  • Use the information in the term structure of interest rates to forecast future rates
  • Understand CAPM theory and be able to interpret the estimation of beta
  • Understand the limitation of CAPM and be able to use other alternative models

Indicative assessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Financial Econometrics		 2 hours 100

Special assessment rules

None

Indicative reassessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Financial Econometrics		 2 hours 100

Module feedback

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Indicative reading

Information currently unavailable


The information on this page is indicative of the module that is currently on offer. The University constantly explores ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary. In some instances it may be appropriate for the University to notify and consult with affected students about module changes in accordance with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.