ETC3460

Financial econometrics (6 points)

(BUS)

Leader: Professor Keith McLaren and Associate Professor Heather Anderson

Offered:
Clayton First semester 2003 (Day)
Clayton First semester 2004 (Day)

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%

Contact Hours: Two 1-hour lectures and one 2-hour tutorial per week

Prerequisites: AFC2140 or AFC3140 and ETC2400 or ETC2410