Empirical Methods in Finance and Accounting

Semester Autumn
Level 11
Credit Value 10
Module Co-ordinator Professor David McMillan
Contact Hours

Lectures and Seminars: 2 hrs lecture per week and 2hr computer class.  10 hrs lectures 10 computer classes 6 teaching weeks.

Assessment Assessment will comprise of an in-class test (25% of the module grade) and a mini project (75%, 3000 words max). The in-class test will allow students to demonstrate their knowledge of the basic topics within the module. The mini project will allow the students to demonstrate they understand the practical application of the econometric techniques to real data and that they understand how to interpret the results. This will also serve as an introduction to the techniques and style required for the dissertation. 


The aim of this module is to introduce students to empirical research methods used in finance. The module will cover the key econometric techniques used in finance research, including issues of stationarity, cointegration, volatility modelling and forecasting. This will allow the student to understand empirical research papers and arm them with the necessary tools to undertake research for their dissertation and beyond. 

Learning Outcomes

On completion of the module, students will be able to

  • understand the issue of stationarity and cointegration and its implications for finance
  • understand the nature and characteristics of financial data
  • understand alternative ways to measure and model volatility 
  • understand how to conduct and evaluate forecasts of data 
  • understand appropriate modelling techniques given the research question and data
  • understand the usefulness and limitations of econometric modelling

Generic skills 

  • independent learning
  • time management together with communication skills
  • a capacity for critical evaluation of arguments and evidence
  • an ability to analyse and draw reasoned conclusions given the available evidence

Cognitive skills

  • the ability to critically analyse information 
  • the ability to identify arguments and think critically
  • an ability to analyse and draw reasoned conclusions from the available evidence
  • an ability to understand and use appropriate techniques to solve problems

Division: Accounting & Finance



This module information is representative of what is included in the module in a given year. Details of actual reading, lectures and coursework may vary year to year and will be available at the beginning of the semester.

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