ETC3460

Financial econometrics ( 6 points, SCA Band 2, 0.125 EFTSL)

Leader: Professor Keith McLaren

Offered:
Clayton First semester 2005 (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: AFC1100 or AFC2100 or AFC2140 and ETC2400 or ETC2410 or ETC3440 or ETC4344 or permission