Studying at York
Topics in Financial Econometrics - ECO00042M
- Department: Economics and Related Studies
- Credit value: 10 credits
- Credit level: M
- Academic year of delivery: 2022-23
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Spring Term 2022-23 |
Module aims
to provide an introduction to the theory and practice of financial econometrics
to enable students to study, discuss and evaluate contemporary research in the field
to enable students to undertake the self-fulfilling empirical work
Module learning outcomes
On completing the module a student will be able to:
explain the analytical challenges posed by the properties of financial asset returns
describe Value-at-Risk and related risk management measures
explain the application of GARCH models in a variety of contexts
explain and interpret CAPM and related asset pricing and term structure models
Indicative assessment
| Task | % of module mark |
|---|---|
| Essay/coursework | 30 |
| Online Exam -less than 24hrs (Centrally scheduled) | 70 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Essay/coursework | 30 |
| Online Exam -less than 24hrs (Centrally scheduled) | 70 |
Module feedback
Information currently unavailable
Indicative reading
The primary source will be the lecture handouts and slides, but comprehensive treatment of the subject matter can be found in Brooks, C., Introductory Econometrics for Finance, Cambridge University Press, 2009, and Tsay, R.S., Analysis of Financial Time Series, John Wiley, 2010.
More details will be available on Yorkshare VLE. Please check for any announcement or change on a regular basis.