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 … For more content click the Read More button below.

Offerings

S1-01-CAULFIELD-EVENING
S1-FF-CAULFIELD-FLEXIBLE

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Dr Hsein Kew

Learning outcomes

On successful completion of this unit, you should be able to:
1.

describe, interpret and critically analyse financial data

2.

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

3.

test for stationary behaviour of financial time series

4.

model the long-run relationships among financial time series

5.

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

6.

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

Other unit costs

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