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.
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:
1.
analyse the properties and distributional characteristics of financial returns
2.
recommend appropriate volatility model for financial return processes
3.
assess critically the challenges and shortcomings of volatility models and conduct heavy-tail analysis in financial markets
4.
forecast the financial variables and volatility using univariate and multivariate models.
Teaching approach
Case-based teaching
Active learning
Problem-based learning
Research activities
Assessment
1 - Within semester assessment
Scheduled and non-scheduled teaching activities
Tutorials
Workload requirements
Workload