Financial Econometrics

This information is for the 2019/20 session.

Teacher responsible

Dr Thummim Cho and Dr Christian Julliard


This course is compulsory on the MSc in Finance and Economics and MSc in Finance and Economics (Work Placement Pathway). This course is available on the MPhil/PhD in Accounting. This course is not available as an outside option.


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

Course content

Ths course covers the techniques of empirical investigation in economics and finance. Students are introduced to recent empirical findings based on asset pricing and corporate finance 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.


22 hours of lectures and 20 hours of seminars in the MT. 22 hours of lectures and 20 hours of seminars in the LT.

Formative coursework

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

Indicative reading

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; Econometric Analysis of Cross Section and Panel Data, J. Wooldridge; selected published articles.


Exam (45%, duration: 2 hours) in the January exam period.
Exam (45%, duration: 2 hours, reading time: 10 minutes) in the summer exam period.
Coursework (10%) in the MT and LT.

Key facts

Department: Finance

Total students 2018/19: 40

Average class size 2018/19: 14

Controlled access 2018/19: No

Value: One Unit

Guidelines for interpreting course guide information