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Unit of study_

ECMT6006: Applied Financial Econometrics

This unit provides an introduction to some of the widely used econometric models designed for the analysis of financial data, and the procedures used to estimate them. Special emphasis is placed upon empirical work and applied analysis of real market data. The unit deals with topics such as: the statistical nature of financial data; the specification, estimation and testing of assets pricing models; the analysis of high frequency financial data; and the modelling of volatility in financial returns. Throughout the unit, students are encouraged (especially in assignments) to familiarise themselves with financial data and learn how to apply the models to these data.

Code ECMT6006
Academic unit Economics
Credit points 6
ECMT6002 or ECMT6702

At the completion of this unit, you should be able to:

  • LO1. become familiar with the stylised facts of financial data and with the econometric methods for analysing such data
  • LO2. understand the key features of the classic and latest econometrics models used in financial economics
  • LO3. be able to implement the econometric models in statistical packages, apply them to the data, and interpret the output from these models.

Unit outlines

Unit outlines will be available 1 week before the first day of teaching for the relevant session.