Overview

This unit provides an introduction to the field of financial econometrics which draws on ideas and methods from finance, economics, probability, statistics and applied mathematics, and uses them to explain the complex world of finance and financial instruments. You will learn about different aspects of asset pricing, namely specification, estimation … For more content click the Read More button below.

Offerings

S1-01-CLAYTON-BLENDED

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 the time series and distributional features of financial data

2.

explain appropriate specification, estimation and testing of asset pricing models

3.

evaluate the need for volatility models for financial returns

4.

describe the specification and estimation of conditional volatility models.

Teaching approach

Active learning

Assessment

1 - Within semester assessment
2 - Examination

Scheduled and non-scheduled teaching activities

Seminars
Tutorials
Workshops

Workload requirements

Workload

Learning resources

Technology resources

Other unit costs

Costs are indicative and subject to change.
Electronics, calculators and tools: $100