ETF9350

Econometrics for financial markets (3 points)

(BUS)

Leader: A/Professor Param Silvapulle

Offered:
Not offered in 2003.

Synopsis: This half-unit covers statistics and econometric tools to assess time series properties and distributional properties of financial series and teaches how to model and estimate capital asset pricing models, arbitrage pricing models and term structure models. Parametric, nonparametric and simulation methods will be used to estimate the value at risk. Use of EVIEWS software to carry out financial data analysis and applied research projects.

Assessment: 1 project : 40%; Examination (2 hours): 60%

Prerequisites: AFF9641 and ETX1100 or permission.