ETW3481 - Econometric methods for finance

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Overview

This unit introduces you to a wide range of contemporary financial econometric techniques which are commonly employed in the financial data analysis. Topics covered include the random walk model, volatility and risk modelling, several symmetric and asymmetric univariate as well as multivariate volatility models. Also, this unit will expose you … For more content click the Read More button below.

This unit introduces you to a wide range of contemporary financial econometric techniques which are commonly employed in the financial data analysis. Topics covered include the random walk model, volatility and risk modelling, several symmetric and asymmetric univariate as well as multivariate volatility models. Also, this unit will expose you to applications of econometric analysis in the portfolio selection and volatility spillovers between markets and assets.

Offerings

S2-01-MALAYSIA-ON-CAMPUS

Requisites

Prerequisite

Contacts

Chief Examiner(s)

Dr Akram Hasanov

Learning outcomes

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

analyse the properties and distributional characteristics of financial returns

develop appropriate models for the first and second moment of return processes

critically assess the challenges and shortcomings in the mean and variance models

generate forecasts for returns and volatility using univariate and multivariate models.

Teaching approach

Active learning

Research activities

Case-based teaching

Problem-based learning

Assessment

1 - Within semester assessment

2 - Examination

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.