Overview

This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series. It teaches how to model and estimate the single-factor and multiple-factor capital asset pricing models; and conduct diagnostic checks and reliable statistical inferences on various risk-return relationships and financial market hypotheses. … For more content click the Read More button below.

Offerings

S2-01-CAULFIELD-ON-CAMPUS

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Dr Wei Wei

Learning outcomes

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

analyse and interpret the time series patterns and distributional characteristics of financial data to gain insights into market trends

2.

assess the relationship between risk and return for various financial assets to make data-driven investment decisions

3.

apply statistical methods to test market hypotheses and evaluate asset pricing models

4.

analyse and model the volatility of financial returns, and utilise measures such as value-at-risk (VaR) to assess and manage potential risks associated with investment portfolios

5.

demonstrate proficiency in applying statistical software such as R to perform statistical analysis and derive meaningful insights from financial data for business applications.

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