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Quantitative methods for financial markets (6 points)


Leader: Associate Professor Param Silvapulle/Dr Paul Kim

Caulfield Second semester 2003 (Day)
Caulfield Second semester 2004 (Day)

Synopsis: This unit 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. This unit also introduces the recent literature on modelling, estimating and forecasting financial markets' volatility. Parametric, nonparametric and simulation method 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: Five minor projects: 50% + Final examination (2 hours): 50%

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

Prerequisites: ETX2111 or ETX2121 and AFF2631

Prohibitions: ETC3460, ETC3464

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