Econometrics of Financial Markets

• Credit value: 30 credits at Level 7
• Convenor: Dr Daniel Kaliski
• Assessment: a three-hour examination (80%) and coursework (20%)

In this module we introduce you to applied financial econometrics and statistical methods. You will gain an understanding of the data, and learn how to use the econometric software, interpret the output and apply econometrics to financial problems.

By the end of this module, you should be able to:

• understand the foundations of statistics, including probability distributions and descriptive statistics
• derive the Ordinary Least Square (OLS) estimator and understand its properties
• explain the basis for standard tests and use them in practice
• develop and analyse basic univariate and multivariate time-series models for integrated and co-integrated data, and choose between alternative models
• use standard econometrics packages and interpret their output
• read, understand and explain empirical articles in academic literature
• conduct and report on an independent piece of empirical research that uses econometric techniques.