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 computer output

6.

critically analyse the application of principles underlying quantitative methods in finance.

Teaching approach

Active learning

Assessment

1 - Within semester assessment
2 - Examination

Scheduled and non-scheduled teaching activities

Laboratories
Lectures

Workload requirements

Workload

Other unit costs

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