Financial Econometrics (N1611)

15 credits, Level 6

Autumn teaching

The objective of this module is to give you a thorough grounding in the econometric methods used to analyse financial data sets.

The module will focus on the techniques used to estimate and test asset pricing models, for example the capital asset pricing model and its extensions. It will introduce some stylised facts of asset returns, emphasising on distributional properties, extreme fluctuations, and time series and cross-sectional dependence.

The module will also cover the forecasting of asset returns and volatility, some more advanced topics in financial econometrics and the use of econometric software typical to the analysis of financial markets.

We regularly review our modules to incorporate student feedback, staff expertise, as well as the latest research and teaching methodology. We鈥檙e planning to run these modules in the academic year 2026/27. However, there may be changes to these modules in response to feedback, staff availability, student demand or updates to our curriculum.

We鈥檒l make sure to let you know of any material changes to modules at the earliest opportunity.

Courses

This module is offered on the following courses: