Undergraduate Course: Empirical Finance (BUST10044)
Course Outline
| School | Business School |
College | College of Humanities and Social Science |
| Course type | Standard |
Availability | Available to all students |
| Credit level (Normal year taken) | SCQF Level 10 (Year 4 Undergraduate) |
Credits | 20 |
| Home subject area | Business Studies |
Other subject area | None |
| Course website |
http://www.bus.ed.ac.uk/programmes/ugpc.html |
Taught in Gaelic? | No |
| Course description | The field of finance has become more quantitative and empirical thanks to availability of high-frequency data and advanced computer technology. Globalisation, liberalisation and integration of national economies and financial markets lead to testing theoretical models of finance in different settings.
The course aims at providing students with basic empirical methodologies of modern finance theory and comparative international results of empirical work. It also focuses on econometrics of financial markets. Topics to be covered include use of summary statistics and distributional properties in time series analysis of financial data, empirical portfolio selection, empirical tests of single and multi-factor asset pricing models and derivative instruments, empirical tests of informational efficiency, empirical tests of capital market integration, modelling and forecasting volatility and its term structure in financial markets, basic forecasting techniques in financial markets and forecast evaluation, empirical market microstructure, and empirical tests of performance measurement. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
Students MUST have passed:
Principles of Finance (BUST08003)
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None. |
Information for Visiting Students
| Pre-requisites | None |
| Displayed in Visiting Students Prospectus? | Yes |
Course Delivery Information
| Not being delivered |
Summary of Intended Learning Outcomes
Knowledge and Understanding: On completion of the course, students should:
- understand arguments and debates concerning the advanced topics in modern finance theory;
- have developed their understanding of certain methods of quantitative and empirical research in finance;
- have a knowledge of aspects of the practical applications.
Cognitive Skills: On completion of the course, students should:
- have developed their ability to understand complex lines of argument and reasoning of the sort found in journal papers in finance;
- have developed their ability to identify econometric and empirical problems in finance and remedial measures. |
Assessment Information
| Coursework (30%); Degree examination with quantitative and essay type questions (70%). |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | Not entered |
Contacts
| Course organiser | Mr Ercan Balaban
Tel: (0131 6)50 8344
Email: |
Course secretary | Ms Ruth Winkle
Tel: (0131 6)50 8335
Email: |
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