Overview
This unit focuses on the specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions; the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects; volatility models such as ARCH models of financial time series, with applications to stock prices, derivatives, and … For more content click the Read More button below.
Offerings
S1-01-CLAYTON-ON-CAMPUS
Requisites
Prerequisite
Prohibition
Contacts
Chief Examiner(s)
Dr Natalia Bailey
Learning outcomes
On successful completion of this unit, you should be able to:
1.
describe the time series and distributional features of financial data
2.
explain appropriate specification, estimation and testing of asset pricing models
3.
evaluate the need for volatility models for financial returns
4.
describe the specification and estimation of conditional volatility models
5.
critically analyse the use of time series in pricing of financial products.
Assessment summary
Within semester assessment: 40% + Examination: 60%
Workload requirements
Workload
Other unit costs
Costs are indicative and subject to change.
Electronics, calculators and tools: $40