ETF5300 - Applied financial econometrics

Leader: Dr Jonathan Dark

Offered

Caulfield Second semester 2007 (Day)

Synopsis

Illustrates how statistical and econometric methods can be applied to financial data to solve problems arising in financial markets.Also covers modelling, estimating and testing the volatility of financial markets. Practical examples will be discussed in lectures to enhance the understanding of analysing financial data using the statistical and econometric tools taught in this unit. An integral component will be the completion of a number of minor research projects enabling students to develop the necessary skills.

Objectives

The learning goals associated with this unit are to:

• identify the issues involved when modelling the dynamics of financial markets
• estimate volatility models using econometrics software
• critically evaluate the financial econometrics literature
• explain the financial market applications of the non linear models developed
• undertake a research project that applies the techniques and analysis to a financial market of interest.

Assessment

Two projects: 60%;
Examination (2 hour): 40%

Contact hours

One 2-hour lecture and one 1-hour tutorial/practical per week

Prerequisites

Prerequisites: Students must be enrolled in course codes 3816 or 3822 OR must have passed AFF2631 and any of ETF3200, ETF3300, ETF9200 or ETF9300.