ETF5930 - Financial econometrics

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Overview

This unit covers statistics econometrics tools to analyse and model the key characteristics of empirical distributions of asset returns, model and estimate the simple capital asset pricing model and its extensions, and test for various financial market hypotheses. It includes modelling, estimating and analysing time series properties of stationary and non-stationary financial data, and modelling and estimating simple and multivariate long-run relationships among financial variables. It also includes modelling and estimation of ARCH/GARCH volatilities, single-factor and multiple-factor capital asset pricing models. Students will be requested to work through a number of questions and projects with a broad range of financial data sets.

Offerings

S1-01-CAULFIELD-EVENING

S1-FF-CAULFIELD-FLEXIBLE

Requisites

Prerequisite

Prohibition

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Dr Hsein Kew

Learning outcomes

On successful completion of this unit, you should be able to:

describe, interpret and critically analyse financial data

apply the simple and multivariate models and theory to model the relationship among financial variables, interpret the results, and conduct reliable statistical inference

test for stationary behaviour of financial time series

model the long-run relationships among financial time series

model and forecast the time-varying volatility of returns on financial assets

be proficient at econometric modelling of financial data using the software EViews, which is widely used in the commercial world.

Assessment summary

Within semester assessment: 40% + Examination: 60%

This unit contains a hurdle requirement that you must achieve to be able to pass the unit. The consequence of not achieving a hurdle requirement is a fail grade (NH) and a maximum mark of 45 for the unit.

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