ETC5346 - Financial econometrics

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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.

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 exchange rates including the forecast performance of these models.

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:

describe the time series and distributional features of financial data

explain appropriate specification, estimation and testing of asset pricing models

evaluate the need for volatility models for financial returns

describe the specification and estimation of conditional volatility models

critically analyse the use of time series in pricing of financial products.

Assessment summary

Within semester assessment: 40% + Examination: 60%

Workload requirements

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

Other unit costs

Costs are indicative and subject to change.
Electronics, calculators and tools: $40