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Applied Econometrics 2

Module description


In thismodule you will beintroduced to important concepts of time series econometrics and their usefulness in analysing financial/economic data. It is designed to give you an understanding of why the specific econometric methods are used, to provide you with a working ability of applying modern econometric methods and illustrate their application in finance.

Additional Information:


Since econometrics relies on mathematical and statistical tools, the course content is relevant internationally.


All of the lecture material is available on ELE (Exeter Learning Environment)


Students acquire the ability to analyse financial data and understand the foundations of economic theory. They also develop their technical expertise in a computer software tool, logical articulation of solutions for financial data questions, and their confidence in identifying, calculating and solving research problems. These valuable skills will help them for a career in business, international organisations, government, academia or banking.



Full module specification

Module title:Applied Econometrics 2
Module code:BEEM012
Module level:M
Academic year:2023/4
Module lecturers:
  • Mr Julian Dyer - Convenor
Module credit:15
ECTS value:






Duration of module: Duration (weeks) - term 2:


Module aims

The aim of the module is to introduce students to the fundamental techniques used in the analysis of financial data, and to provide the necessary economic background to carry out empirical investigations.

Students will need a good command of module-specific skills to complete an empirical dissertation, and to succeed in a job after they graduate. Effective personal and discipline-specific skills will also help students to complete other modules in the programme.

ILO: Module-specific skills

  • 1. apply econometric methods to theoretical economic/financial models.
  • 2. apply modern econometric techniques in the analysis of economic/financial data.

ILO: Discipline-specific skills

  • 3. analyse and solve theoretical and applied economic/financial questions.
  • 4. formulate the hypothesis of interest, derive the necessary tools to test this hypothesis and interpret the results.
  • 6. apply knowledge of financial econometrics to real-world problems

ILO: Personal and key skills

  • 6. learn programming concepts necessary to solve empirical problems
  • 7. approach empirical questions with firm foundations in theory
  • 8. develop confidence in identifying, tackling and solving research problems independently

Learning activities and teaching methods (given in hours of study time)

Scheduled Learning and Teaching ActivitiesGuided independent studyPlacement / study abroad

Details of learning activities and teaching methods

CategoryHours of study timeDescription
Contact hours22Lectures

Formative assessment

Form of assessmentSize of the assessment (eg length / duration)ILOs assessedFeedback method
In-class problems and assignments3 hours each1-8Oral or written

Summative assessment (% of credit)

CourseworkWritten examsPractical exams

Details of summative assessment

Form of assessment% of creditSize of the assessment (eg length / duration)ILOs assessedFeedback method
Empirical Project502500 words (10-12 sides of A4)1-2, 5-8Oral or written
Written examination 501.5 hours1-4Written

Details of re-assessment (where required by referral or deferral)

Original form of assessmentForm of re-assessmentILOs re-assessedTimescale for re-assessment
Empirical ProjectEmpirical Project (2,500 words) 50%1-2, 5-8July
Written ExamWritten Exam (1.5 hours) 50%Written Exam (1.5 hours) 50%August

Syllabus plan

  1. Linear time series analysis.

  2. Unit root processes.

  3. Cointegration.

  4. Multivariate Models

  5. Volatility Models

  6. Nonlinear models including Markov-switching and threshold models.

  7. The predictability of asset returns.

Indicative learning resources - Basic reading

Basic reading:

C. Brooks (2014), Introductory Econometrics for Finance, 3rd edition, Cambridge

W. Enders (2004), Applied Econometric Time Series, 2nd edition, Wiley Series in Probability and Statistics.

P. H. Franses and D.van Dijk (2006), Non-linear Time Series Models in Empirical Finance, Cambridge.

J. Y. Campbell, A.W. Lo and A.C.MacKinlay(1996), The Econometrics of Financial Markets, Princeton University Press.

T. C. Mills (1999) ,The Econometric Modelling of Financial Time Series, 2nd edition, Cambridge.

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