FM437      One Unit
Financial Econometrics

This information is for the 2025/26 session.

Course Convenor

Dr Linyan Zhu

Dr Philippe Mueller

Availability

This course is compulsory on the MSc in Finance and Economics and MSc in Finance and Economics (Work Placement Pathway). This course is not available as an outside option to students on other programmes. This course uses controlled access as part of the course selection process.

All students on a programme listed under the Course Availability will be given a place. This course is closed to outside students and does not permit auditing students.

Please contact finance.teachingmanager@lse.ac.uk with any queries.

This course does not permit auditing students.

Requisites

Additional requisites:

Students must have completed Introductory Course in Mathematics and Statistics (EC400).

In exceptional circumstances, students may enrol in the course without EC400 provided they have received approval from the MSc Finance and Economics Programme Director and Associate Programme Director.

Course content

This 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 estimation; hypothesis testing; omitted variables and misspecification; asymptotic theory; methods for casual inference; introduction to machine learning; 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; introduction to Bayesian econometrics, model selection and model averaging, and large-scale modelling.

Teaching

33 hours of seminars in the Autumn Term.
33 hours of seminars in the Winter Term.

This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.

Formative assessment

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

 

Indicative reading

A complete reading list is available at the beginning of session. Readings will be based on Hansen, Econometrics; Hayashi, Econometrics; Hamilton, Times Series Analysis; 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; Contemporary Bayesian Econometrics and Statistics, Wiley Series in Probability and Statistics, J. Geweke; selected published articles.

Assessment

Continuous assessment (100%)


Key facts

Department: Finance

Course Study Period: Autumn and Winter Term

Unit value: One unit

FHEQ Level: Level 7

CEFR Level: Null

Total students 2024/25: 53

Average class size 2024/25: 53

Controlled access 2024/25: No
Guidelines for interpreting course guide information

Course selection videos

Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.