The two courses together provide the essential quantitative methodological training for first-year PhD students in Finance. Attendance at lectures and tutorials is expected.
Course Descriptions
Foundation of Econometrics
This course exposes students to a thorough and rigorous treatment of basic econometric methods. Students will learn the assumptions of all basic estimators and the implications of these assumptions on the resulting estimates through mathematical proofs. Most of the material will focus on linear models; however, some nonlinear cases, such as limited dependent variable models and generalised methods of moments, will also be discussed. Examples in Finance and Economics will be used to provide context.
Foundation of Econometrics Course Outline
This course runs in Semester 1 each year. In 2018/19 this will run from 17 September to 30 November and includes an examination which takes place between 10–21 December.
Course Organiser: Dr Ben Sila
Applications of Econometrics
This course discusses the best practices in empirical quantitative research in Finance. The focus will be on research design for causal inference in the subarea of corporate finance and on competent error correction and estimation techniques in asset pricing. Following from the theoretical basis covered in Foundations of Econometrics, this course will teach the best practices in quantitative research at the PhD level and of top publication quality.
Applications of Econometrics Course Outline
This course runs in Semester 2 each year. In 2018/19 this will run from 14 January to 5 April.
Course Organiser: Dr Maria Boutchkova
Entry Requirements
- Knowledge of statistics and econometrics at the undergraduate and/or Masters level
- Knowledge of matrix algebra and undergraduate-level calculus is a plus
- Potential students are encouraged to contact the course organisers directly to discuss suitability
- Applicants must be registered on a research degree at an accredited Higher Education institution.
Course Fees
| Overseas/Non-EU Students | |
|---|---|
| Students who commenced their research degree on/after 1 August 2018 | £2,000 |
| Students who commenced their research degree before 1 August 2018 | £1,722 |
| Home/EU Students |
|---|
| £473 |