FM7101: Financial Econometrics


Please note this module descriptor is indicative of the structure of this course and may be subject to change.

FM7101: Financial Econometrics

Module Title Financial Econometrics
Module Code FM7101
Module Tutor Xiaoling Hu
School Business School
CAT Points 15
Level of Study 7
Brief Description

The aim of this course is to help students develop a working knowledge of statistics and econometrics. There will be an emphasis on application of statistical methods to finance data. The course includes a review of financial mathematics & time value of money applications,  matrix algebra, probability theory,  theoretical probability distributions and construct econometrics modelling and hypothesis testing

Indicative Syllabus

The syllabus for this module includes:


1.    Review of  Financial mathematics & time value of money applications

2.    Statistical Theory:  Probability Framework for Statistical Inference; Estimation, Testing Confidence Interval

3.    The  Classical Linear Regression

4.    Multiple regression

5.    Time Series Modelling: unit root and co-integration; VAR, GARCH and EGARCH models

6.    Pooling Cross-Sections: Simple Panel Data Methods

Learning Outcomes

By the end of this module, students should be able to:

  1. Demonstrate an understanding of fundamental statistical tools and econometrics theories.
  2. Apply statistical methods and econometric techniques to real economics and finance data.
  3. Conduct hypothesis testing using the  appropriate tools and regression models.
  4. Interpret and critically evaluate the outcomes of empirical analyses. 
  5. Evaluate, synthesise and apply the contemporary theories and empirical evidence concerning Financial econometrics to a range of problems and situations.
  6. Identify and assess the potential impact of emerging issues in financial econometrics.

Apply appropriate communication and numerical skills, including the ability to present quantitative and qualitative information, together with analysis, argument and commentary, in a form which will be understood by its intended audience.

Learning and Teaching Activities Scheduled Contact Hours: 30
Independent Learning Hours: 120
Assessment (For further details see the Module Guide) 001: 40% Coursework: Individual, standard written: 1500 words or equivalent
002: 60% Written Exam: End of module, unseen, closed book: 3.00 hours
Special Assessment Requirements
Indicative Resources The current reading list can be found in the Module Guide, which your lecturer should make available via Moodle.

What are Course Maps and Module Descriptors?

Course Maps

A course map contains a list of the individual study units, called modules, that you study to complete your course. Some modules are compulsory, but you can sometimes choose modules outside your core area of study which interest you.

Module Descriptors

A module is a self-contained, individual unit of study. The module descriptor provides various details about the module including who the module tutor is, what you will be studying, how you will be assessed and what you will have learned once you have completed the module.

Course Resources Archive

Course maps and module descriptors from previous years can be found in the Course Resources Archive.