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 None.
Tied to N3KA09


  • None


  • None

Excluded Combination of Modules

  • Financial Modelling and Business Forecasting (Online) - ECON45515


  • 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:
  • On completion of the module students should: 
  • 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:
  • By the end of the module, students should: 
  • have further practised problem solving skills at an advanced level and the use of econometric software.
Key Skills:
  • In addition, students will have had the opportunity to further develop the following key skills:
  • effective written communication skills
  • planning, organising and time management skills
  • problem solving and analytical skills
  • the ability to use initiative
  • advanced skills in the interpretation of data
  • advanced computer literacy skills

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

  • Learning outcomes will be met through a combination of taught input, groupwork, case studies and discussion, supported by guided reading and specially-written self-study material.
  • The summative assignment 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
Workshops (a combination of taught input, groupwork, case studies and discussion), timetabled in blocks 24
Preparation and reading 126
Total 150

Summative Assessment

Component: Assignment Component Weighting: 100%
Element Length / duration Element Weighting Resit Opportunity
Written assignment requiring application of advanced econometric methods 3000 words 100% Same

Formative Assessment:

Short-answer questions and case study exercises.

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