Overview
This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series. It teaches how to model and estimate the single-factor and multiple-factor capital asset pricing models; and conduct diagnostic checks and reliable statistical inferences on various risk-return relationships and financial market hypotheses. … For more content click the Read More button below.
Offerings
S2-01-CAULFIELD-ON-CAMPUS
Requisites
Prerequisite
Prohibition
Contacts
Chief Examiner(s)
Dr Wei Wei
Notes
IMPORTANT NOTICE:
Scheduled teaching activities and/or workload information are subject to change in response to COVID-19, please check your Unit timetable and Unit Moodle site for more details.
Learning outcomes
On successful completion of this unit, you should be able to:
1.
assess the time series and distributional properties of financial data
2.
evaluate the risk-return relationship among financial assets
3.
estimate the long run relationship among financial time series and test market hypotheses arising in finance
4.
analyse and model the volatility of financial returns and estimated value at risk and relate measures
5.
demonstrate the ability to generate and analyse EViews computer output.
Teaching approach
Active learning
Assessment
1 - Within semester assessment
2 - Examination
Scheduled and non-scheduled teaching activities
Lectures
Tutorials
Workload requirements
Workload
Other unit costs
Costs are indicative and subject to change.
Electronics, calculators and tools: $40