Module Details

BE953-7-AU-CO: Research Methods In Finance: Empirical Methods In Finance

Year: 2016/17
Department: Essex Business School
Essex credit: 20
ECTS credit: 10
Available to Study Abroad / Exchange Students: No
Full Year Module Available to Study Abroad / Exchange Students for a Single Term: No
Outside Option: No

Staff
Supervisor: Dr Sam Astill & Prof Simon Price
Teaching Staff: Dr Sam Astill & Prof Simon Price
Contact details: Email: sastill@essex.ac.uk Email: s.g.price@essex.ac.uk

Module is taught during the following terms
Autumn Spring Summer

Module Description

The primary purpose of this module is to provide the student with the basic econometric tools and experience necessary to begin conducting empirical research in finance. The first part of this module covers a review of statistics and basic econometric models. The second part will concentrate on the application of econometric techniques in finance by considering such topics as (G)ARCH models, unit roots and cointegration.

Aims

The main aims of the module are:

1. to enable students to acquire the skills and techniques necessary to understand and critically evaluate the research literature;
2. to enable students to develop and apply those skills and techniques when writing their dissertations over the Spring and Summer terms.

Objectives

This module enables students to be able:

1. to understand the OLS estimator and its limitations;
2. to undertake estimation and tests of hypotheses using financial data;
3. to use the EViews econometric package to obtain estimates and to be able to interpret the output from the package.
4. to understand the econometric content in applied finance journals.

Learning and Teaching Methods

10 x 2hr Lectures and 9 x 1hr Lab sessions in autumn term.
Revision lecture in summer term.

Assessment

50 per cent Coursework Mark, 50 per cent Exam Mark

Coursework

One take-home assignment

Other information

This module is core for:

MPhD in Finance (Intergrated)
MSc in Finance
MSc in International Finance
MSc in Banking and Finance
MSc in Financial Engineering and Risk Management
MSc in Finance and Global Trading
MSc in Finance and Investment
MSc in Finance and Data Analytics
PhD in Finance (Integrated)

This module is compulsory for:

DIP in Mathematics and Finance
MSc in Mathematics and Finance
MSc in Finance and Management

Postgraduate Administrator - Jade D'Mello
Email: ebspgtad@essex.ac.uk

Further information

External Examiner Information

  • Name: Prof Robert Hutchinson
    Institution: University of Ulster
    Academic Role: Emeritus Professor