ETC3460

Financial econometrics

(BUS)

Associate Professor Keith McLaren and Dr Nigel Wilkins

6 points + Two 1-hour lectures and one 2-hour tutorial per week + First semester + Clayton + Prerequisites: AFC2140 or AFC3140 and ETC2400 or ETC2410 + ETC2450 also recommended

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; volatility models such as ARCH models of financial time series, with applications to stock prices, derivatives, and exchange rates including the forecast performance of these models.

Assessment: Written (2 assignments): 40% + Examination (2 hours): 60%