Module manager: Dr Elena Hernandez
Email: M.E.Hernandez-Hernandez@leeds.ac.uk
Taught: Semester 1 (Sep to Jan) View Timetable
Year running 2024/25
Fulfilment of the entry requirements to any of the above programmes is sufficient
LUBS5042M Financial Econometrics (MSc Financial Mathematics)
This module is not approved as an Elective
The aim of the module is to provide a grounding in the aspects of statistics, in particular statistical modelling, that are of relevance to actuarial and financial work. The module introduces and develops the fundamental concepts of probability and statistics used in applied financial analysis.
The course also provides training in practical skills required for empirical analyses.
Students will have opportunities to develop a good understanding of the fundamentals of probability and statistics.
They should be able to use these techniques in empirical analyses of financial data and present, interpret, discuss the results in a written report. Students are also expected to become proficient in the use of statistical software.
On completion of the module students are expected to be able to:
- communicate both verbally and in writing the theoretical and applied concepts of probability and statistics within a finance context
- carry out statistical tests and interpret the findings.
PART I: Fundamentals of Probability
- Summarising data
- Introduction to probability
- Random variables
- Probability distributions
- Generating functions
- Joint distributions
- The central limit theorem
- Conditional expectation.
PART II: Fundamentals of Statistics
- Sampling and statistical inference
- Point estimation
- Confidence intervals
- Hypothesis testing.
PART III: Applied Statistics
- Correlation and regression (OLS)
- Analysis of variance (ANOVA)
- Univariate time series analysis and forecasting (ARMA)
- Multivariate time series analysis (VAR)
- Cointegration
- Volatility models (ARCH/GARCH).
| Delivery type | Number | Length hours | Student hours |
|---|---|---|---|
| Lecture | 16 | 2 | 32 |
| Practical | 5 | 1 | 5 |
| Seminar | 6 | 1 | 6 |
| Private study hours | 107 | ||
| Total Contact hours | 43 | ||
| Total hours (100hr per 10 credits) | 150 | ||
- Pre-lecture reading 1 h each (32 h)
- Post-lecture reading 1 h each (32 h)
- Seminar reading and preparation (30 h)
- Completion of assessed coursework (20h).
- Student contributions made to seminar discussion.
- At least one piece of assessed coursework.
| Assessment type | Notes | % of formal assessment |
|---|---|---|
| Project | max 2,000 words | 30 |
| Total percentage (Assessment Coursework) | 30 | |
The resit for this module will be 100% by 2hours examination
| Exam type | Exam duration | % of formal assessment |
|---|---|---|
| Standard exam (closed essays, MCQs etc) | 2.0 Hrs Mins | 70 |
| Total percentage (Assessment Exams) | 70 | |
The resit for this module will be 100% by 2 hours examination
The reading list is available from the Library website
Last updated: 29/04/2024
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