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Unit information: Applied Financial Econometrics in 2020/21

Please note: you are viewing unit and programme information for a past academic year. Please see the current academic year for up to date information.

Unit name Applied Financial Econometrics
Unit code EFIMM0127
Credit points 15
Level of study M/7
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Dr. Khatoon
Open unit status Not open

ECONM1022, Econometrics



School/department School of Economics
Faculty Faculty of Social Sciences and Law


This unit aims to deliver the knowledge and understanding of the key time series econometric methodologies in an applied fashion. The complex theories are blended with applications using data and software packages to achieve in depth understanding. The unit is aimed to prepare students for dissertation, enhancing their ability to understand empirical time series literature, and to replicate and extend them.

Course contents

  • Fundamental concepts: Stationary stochastic process, autocovariance and autocorrelation functions
  • Modelling univariate time series under stationarity: Autoregressive models (AR), Moving Average models (MA), Autoregressive Moving Average models (ARMA)
  • Modelling volatility and correlation: Autoregressive, Generalized Autoregressive Conditional Heteroscedasticity (ARCH and GARCH) models
  • Multivariate Time series analysis: Vector Autoregression (VAR), Vector Error Correction (VEC) models

Advanced topics: Structural Break and Threshold models (time permitting)

Intended learning outcomes

  1. Develop a firm understanding of econometric methodologies used to analyse macroeconomic and financial data
  2. Understand which method should be applied in different contexts of time series analysis
  3. Critically evaluate published empirical research to analyse the strengths and weaknesses in such work
  4. Conduct time series analysis using appropriate software packages and ability to writeup the results in a formal fashion

Teaching details

Teaching will be delivered through a combination of synchronous and asynchronous sessions such as online teaching for large and small group, face-to-face small group classes (where possible) and interactive learning activities

Assessment Details

Coursework (50%) and 7 day assessment (50%)

Reading and References

  1. Mills, T., The Econometric Modelling of Financial Time series, Cambridge University Press (latest edition).
  2. Mills, T., Applied Time series Analysis, Elsevier, 2019.
  3. Enders, W., Applied Econometric Time Series, John Wiley and Sons Inc., 2009 (or latest edition)
  4. Hamilton, J.D., Time Series Analysis. Princeton: Princeton University Press, 1994. (or latest edition)
  5. Canova, Fabio (2007): Methods for Applied Macroeconomic Research, Princeton University Press.
  6. Brooks, Chris (2019): Introductory Econometrics for Finance, Cambridge University Press.