Financial econometrics
Associate Professor Keith McLaren and Dr Paul Kofman
6 points * Two 1-hour lectures and one 2-hour tutorial per week * Second semester * Clayton * Prerequisites: AAF2140 or AAF3140 and ECM2400 or ECM2410
Objectives On completion of this subject students should understand how and why financial market data differ from typical economic data; be aware of recent developments in econometrics designed for financial applications; have obtained practical experience in the application of these methods, and the reporting and analysis of results of applications designed for a financial setting.
Synopsis The specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions; the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects; ARCH and GARCH models of financial times series, with applications to stock and bond prices, derivatives, interest rates and exchange rates including the forecast performance of these models; tests of market efficiency.
Assessment Written (2 assignments [computing and reports]): 40% * Examination (2 hours): 60%