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Topics in Financial Econometrics - ECO00042M

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  • Department: Economics and Related Studies
  • Module co-ordinator: Prof. Yongcheol Shin
  • Credit value: 10 credits
  • Credit level: M
  • Academic year of delivery: 2021-22
    • See module specification for other years: 2022-23

Module will run

Occurrence Teaching period
A Spring Term 2021-22

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

Assessment

Task Length % of module mark
Essay/coursework
Coursework		 N/A 30
Online Exam - 24 hrs (Centrally scheduled)
Topics in financial Econometrics		 8 hours 70

Special assessment rules

None

Reassessment

Task Length % of module mark
Essay/coursework
Coursework		 N/A 30
Online Exam - 24 hrs (Centrally scheduled)
Topics in financial Econometrics		 8 hours 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.


The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.