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Last modified: 20 May 2026 16:16
This course aims to build upon the level 3 Empirical Methods course to develop an advanced understanding of empirical methods needed to understand and conduct research in finance. The main learning objective is to develop an advanced understanding of econometric methods for time-series data. Applications focus on examples from finance, such as evaluation of fund managers’ performance, the long-run relationship between dividends and stock prices, and time-varying asset price volatility.
| Study Type | Undergraduate | Level | 4 |
|---|---|---|---|
| Term | First Term | Credit Points | 15 credits (7.5 ECTS credits) |
| Campus | Aberdeen | Sustained Study | No |
| Co-ordinators |
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This course builds on the knowledge and understanding gained in the year 3 empirical methods course. The course is mainly on methods for time-series data. Lectures provide the theoretical underpinnings to univariate and multivariate models for both stationary and non-stationary processes. Throughout, there will be a strong focus on the applications of these methods to research questions in Finance. Students will have the opportunity to implement empirical analyses of, among others, fund managers’ performance and the long-run relationship between dividends and stock prices, in computer workshops.
Topic areas may include but may not be limited to:
• ARMA models
• Box-Jenkins approach of forecasting
• Random walks and unit roots
• Cointegration and error correction models
• VAR and VEC models
• GARCH models
Information on contact teaching time is available from the course guide.
| Assessment Type | Summative | Weighting | 75 | |
|---|---|---|---|---|
| Assessment Weeks | Feedback Weeks | |||
| Feedback |
Exam - 1,500 words. Individual feedback will be provided alongside generic class based feedback within the lecture. |
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| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Conceptual | Apply | Ability to apply theoretical financial concept in empirical research |
| Conceptual | Understand | Knowledge of quantitative methods within the core areas of finance |
| Assessment Type | Summative | Weighting | 25 | |
|---|---|---|---|---|
| Assessment Weeks | 13 | Feedback Weeks | 16 | |
| Feedback |
Research report - 1,500 words. Individual feedback will be provided alongside generic class based feedback within the lecture. |
|||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Conceptual | Apply | Ability to apply theoretical financial concept in empirical research |
| Conceptual | Evaluate | Ability to critique extant literature |
There are no assessments for this course.
| Assessment Type | Summative | Weighting | 100 | |
|---|---|---|---|---|
| Assessment Weeks | 50,51 | Feedback Weeks | ||
| Feedback | ||||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
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|
||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Conceptual | Understand | Knowledge of quantitative methods within the core areas of finance |
| Conceptual | Apply | Ability to apply theoretical financial concept in empirical research |
| Conceptual | Evaluate | Ability to critique extant literature |
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