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School of Economics and Finance

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ECOM025 - Financial Econometrics

This module discusses econometric methodology for dealing with problems in the area of financial economics and provides students with the econometric tools applied in the area. Applications are considered in the stock, bond and exchange rate markets. The module covers the following issues: asset returns distributions, predictability of asset returns, econometric tests of capital markets efficiency and asset pricing models, intertemporal models of time-varying risk premium, and nonlinearities in financial data, value at risk, pricing derivatives with stochastic volatility (or GARCH) models, modelling nonsynchronous trading, and numerical methods in finance.
Prerequisites: None

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