This page contains information about the module Financial Econometrics, taught at the M.Sc. in Banking & Finance (2022-23). Notes, dataset and do files used during the lectures can be downloaded from here. Additional information/material will be posted in this page.

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Lecture notes

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Lecture 1 - Dataset - do file

Lectures 2 & 3 - Dataset - do file

Lecture 4 - do file

Lecture 5 - do file

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Exam paper

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Timetable

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Monday 09:30 - 12:30

Tuesday 09:30 - 12:30

Wednesday 16:30 - 18:30

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Coursework

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We can download the exam paper from here. Submission will be made electronically via E-Learning platform. The deadline is on 01/03/2023 at 23:59. Inside the paper, you can find the link to download the dataset that you need to use to answer the question. Choose one of the available stock at your convenience. Be sure that you picked up a stock that none of your fellow has already selected. UPDATE: The link to the dataset in the exam paper was corrupted. I amended it. Please download the file again.