ETC5346 - Financial econometrics

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 and testing of asset pricing models, including the capital asset pricing model and extensions. You will also learn how to decipher the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects, and how to incorporate these in volatility models such as ARCH and multi-variate extensions. Further, you will apply these techniques to financial time series in real time (e.g. stock prices) and evaluate the forecast performance of these models.

Offerings

S1-01-CLAYTON-BLENDED

Requisites

Prerequisite

ETC2410

6 CP

Introductory econometrics

ETC3440

6 CP

Introductory econometrics

ETF2100

6 CP

Introductory econometrics

ETF5910

6 CP

Introductory applied econometrics

ETW2510

6 CP

Introduction to econometrics

MTH2232

6 CP

Mathematical statistics

ETC2560

6 CP

Statistical modelling for actuarial studies

ETC5256

6 CP

Statistical modelling for actuarial studies

Prohibition

Contacts

Chief Examiner(s)

Dr Hsein Kew

Teaching approach

Active learning

Assessment

1 - Within semester assessment

2 - Examination

Scheduled and non-scheduled teaching activities

Seminars

Tutorials

Workshops

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. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.

Learning resources

Technology resources

Other unit costs

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