2023/24 Undergraduate Module Catalogue

LUBS2227 Financial Econometrics

10 creditsClass Size: 186

Module manager: Vladimir Pazitka
Email: V.Pazitka@leeds.ac.uk

Taught: Semester 1 (Sep to Jan) View Timetable

Year running 2023/24

This module is mutually exclusive with

LUBS2575

Statistics and Econometrics

Module replaces

LUBS2224 Credit and Financial Analytics

This module is not approved as a discovery module

Module summary

This module is intended to equip students with analytical skills and theoretical knowledge necessary to apply econometric techniques to the analysis of financial datasets. Students will get hands on experience working with econometric software, managing and analysing a variety of financial datasets. The skills and knowledge that students will develop can then be applied in other finance modules both in year 2 and final year.

Objectives

The module aims to provide students with a basic, through to more advanced, level of understanding of econometric techniques as applied in finance. Students will be equipped with the tools required to analyse financial datasets and to test theories and hypotheses in this field. Students will be given computer-based tasks in addition to class tasks and are expected to develop competence in the use of statistical and econometric software for data management and econometric analysis.

Learning outcomes
On completion of the module students will be able to:
- Demonstrate an advanced level of knowledge of econometric tools employed in finance, incorporating knowledge from the CFA syllabus in quantitative methods;
- Competently use econometric software to conduct empirical investigations and interpret the output;
- Identify and critically evaluate how financial econometrics is used in current applied literature;
- Critically evaluate published empirical papers in finance journals.

Skills outcomes
On completion of this module students will be able to:

- Demonstrate advanced problem solving, analytical and quantitative skills by applying current theory and appropriate analytical tools to complex problems in finance;
- Competently use econometric software to conduct empirical investigations and interpret the output;
- Identify and critically evaluate how financial econometrics is used in current applied literature;
- Critically evaluate published empirical papers in finance journals.

Syllabus

Indicative content:

- Introduction to econometrics and econometric software
- Working with financial data
- Probability distributions and hypotheses testing
- Classical linear regression model
- Multiple linear regression model
- Model validity and diagnostics
- Empirical studies in finance

Teaching methods

Delivery type	Number	Length hours	Student hours
Workshop	9	2.00	18.00
Lecture	10	1.00	10.00
Independent online learning hours			20.00
Private study hours			52.00
Total Contact hours			28.00
Total hours (100hr per 10 credits)			100.00

Private study

This could include a variety of activities, such as reading, watching videos, question practice and exam preparation.

Opportunities for Formative Feedback

Students will have the opportunity to take a practice exam and will receive a formative feedback on it. Formative feedback will be also provided on exercises covered in workshops and through weekly quizzes.

Methods of assessment

Coursework

Assessment type	Notes	% of formal assessment
Report	1,000 word individual project report	50.00
Total percentage (Assessment Coursework)		50.00

The resit for this module will be 100% by 2,000 word coursework.

Exams

Exam type	Exam duration	% of formal assessment
Standard exam (closed essays, MCQs etc)	1 hr 00 mins	50.00
Total percentage (Assessment Exams)		50.00

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Reading list

The reading list is available from the Library website

Last updated: 05/05/2023

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