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Financial econometrics

M459

We define financial econometrics as 'the application of statistical techniques to problems in finance'. The objective of the module is to extend your knowledge and equip you with methods and techniques that allow you to analyse these finance-related issues.

Topics covered

  • Unit 1: Statistical Properties of Financial Returns
  • Unit 2: Matrix Algebra, Regression and Applications in Finance
  • Unit 3: Maximum Likelihood Estimation
  • Unit 4: Univariate Time Series and Applications to Finance
  • Unit 5: Modelling Volatility – Conditional Heteroscedastic Models
  • Unit 6: Modelling Volatility and Correlations – Multivariate GARCH Models
  • Unit 7: Vector Autoregressive Models
  • Unit 8: Limited Dependent Variable Models

Assessment

  • one three-hour unseen written examination (70%)
  • two tutor marked assignments (30%)

Essential reading

  • Brooks, C (2014) Introductory Econometrics for Finance, 3rd Edition, Cambridge University Press.