Dr C Julliard, OLD M2.18 and Professor V Hajivassiliou, S564

Exclusively for MSc Finance and Economics, MSc Finance and Economics (Research) and PhD Finance students.

Mathematical background to the level of the course taught in September in the Economics Department (EC400) is assumed.

The techniques of empirical investigation in economics and finance. Students are introduced to recent empirical findings based on asset pricing models.

The course includes a selection of the following topics: multivariate regression; maximum likelihood and methods of moments estimation; hypothesis testing; omitted variables and misspecification; asymptotic theory; measurement error and instrumental variables; time-series modelling; predictability of asset returns; event study analysis; econometric tests of the CAPM and multifactor models; volatility modelling; generalised method of moments estimation.

45 hours of lectures and 20 hours of classes.

Exercises are provided each week and they are discussed in class.

A complete reading list is available at the beginning of session. Will be based on Greene, Econometric Analysis, Prentice-Hall; Campbell, Lo & MacKinlay, The Econometrics of Financial Markets, Princeton University Press; selected published articles.

A three-hour written examination in the ST.