Financial Econometrics

Econometric tools based on maximum likelihood and generalised method of moments are used to analyse financial data including stock returns, exchange rates, option prices, interest rates and bonds prices. Applications consist of multi-factor models in finance, univariate and multivariate models of volatility, long-run models of prices using cointegration and panel cointegration. A range of computer software and financial databases will be used throughout the course. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.