ETF9300

Financial econometrics

(BUS)

Associate Professor Param Silvapulle

6 points + 2-hour lecture and 1-hour laboratory/tutorial session per week + Second semester + Caulfield + Prerequisite: AFF9641 + Prohibitions: ETC3460, ETC3464, ETX3300

Synopsis: This subject covers statistics and econometric tools to assess the time series properties and distributional properties of financial series, and teaches how to model and estimate risk-return relationship of assets; estimate and test capital asset pricing models and anomalies; and use various statistical procedures to test the efficient market hypothesis. It also introduces the recent literature on modelling, estimating and forecasting financial markets' volatility. Parametric, nonparametric and simulation methods will be used to estimate the value at risk. EVIEWS computer software will be used to carry out financial data analysis and applied research projects.

Assessment: Two projects: 60% + 2-hour final examination: 40%