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

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