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Financial econometrics 2 (6 points)


Leader: Dr Gael Martin

Clayton Second semester 2004 (Day)

Synopsis: This unit will introduce students to a range of econometric techniques required to analyse models and data that arise in financial markets. Topics covered include the analysis of the time series and distributional features of financial data; the use of stochastic volatility and multivariate GARCH models to capture time-varying volatility; the application of econometric techniques to option pricing; the use of the Generalised Method of Moments procedure in asset pricing models; the estimation of the interrelationship between the prices of different financial assets, using cointegration methods; the use of Autoregressive Conditional Duration models to describe variation in intraday financial data; and the use of econometric methods to estimate the Value at Risk.

Assessment: Written (4 assignments): 40% = Examination (3 hours): 60%

Contact Hours: Two 90 minute lectures per week for 11 weeks

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