Durham University
Programme and Module Handbook

Postgraduate Programme and Module Handbook 2018-2019 (archived)


Department: Business School (Economics and Finance)


Type Tied Level 4 Credits 15 Availability Available in 2018/19 Module Cap
Tied to L1T109
Tied to L1T209
Tied to L1T309
Tied to L1T409
Tied to N3K109
Tied to N3K209
Tied to N3K309
Tied to N3K409
Tied to N3K509
Tied to N3K609
Tied to N3K709
Tied to N3K809


  • None


  • Econometric Methods

Excluded Combination of Modules

  • Microeconometrics


  • to build upon the knowledge gained in Econometrics I and provide students with the specific advanced technical skills necessary to understand the latest techniques employed by financial econometricians;
  • to provide students with the most recent tools required to analyse and predict financial markets.


  • The statistical properties of univariate time series models and their application in Finance;
  • Models of nonstationary time series;
  • Cointegration and error-correction model
  • Cointegration in multivariate systems;
  • Modelling volatility;
  • Future topics on ARCH;
  • Forecasting in financial econometrics.

Learning Outcomes

Subject-specific Knowledge:
  • have an advanced knowledge of the principles and methods of modern financial econometrics;
  • have extended and deepened their understanding of Econometrics gained in Econometrics I, and improved their critical judgement and discrimination in the choice of techniques applicable to complex situations;
  • have extended their understanding of the application of econometric methods and interpretation of the results at an advanced level;
  • have extended their understanding of the use of econometric tools to conduct advanced empirical investigations into complex specialised issues.
Subject-specific Skills:
  • have further practised problem solving skills at an advanced level and the use of econometric software.
Key Skills:
  • Written Communication;
  • Planning, Organising and Time Management;
  • Problem Solvning and Analysis;
  • Using Initiative;
  • Numeracy;
  • Computer Literacy.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

  • A combination of lectures, classes and guided reading will contribute to achieving the aims and learning outcomes of this module. The summative written project will test students' ability to apply advanced econometric methods and tools in order to conduct their own empirical investigation.

Teaching Methods and Learning Hours

Activity Number Frequency Duration Total/Hours
Lectures 9 1 per week 2 hours 18
Seminars 4 1 per fortnight 1 hour 4
Computer classes 4 1 hour 4
Preparation & Reading 124
Total 150

Summative Assessment

Component: Project Component Weighting: 100%
Element Length / duration Element Weighting Resit Opportunity
Project 2,500 words (maximum) 100%

Formative Assessment:

Work prepared by students for seminars; answers to questions either discussed during a seminar, or posted on DUO; feedback on discussions with teaching staff during consultation hours, or via e-mail.

Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University