ETF9350

Econometrics for financial markets ( 6 points, SCA Band 2, 0.125 EFTSL)

Leader: Dr Bill Zhang

Offered:
Caulfield Second semester 2006 (Day)

Synopsis: This unit covers fundamental concepts in statistics and their applications to study typical features of financial markets; 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: 2 projects: 60%; Examination (2 hours): 40%

Prerequisites: Students must be enrolled in course codes 3814, 3815, 3816 or 3822 or must have passed AFF9641 or AFF9250.