ETF9350 - Econometrics for financial markets

Leader: Dr Bill Zhang

Offered

Caulfield Second semester 2007 (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.

Objectives

The learning goals associated with this unit are to:

• analyse financial data using techniques of descriptive statistics, graphs and tables
• evaluate efficient market hypothesis
• estimate the capital asset pricing model, the arbitrage pricing theory model and GARCH models
• compute value at risk of a portfolio
• examine market anomalies.

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.