Monash University Handbooks 2008

ETC3460 - Financial econometrics

6 points, SCA Band 3, 0.125 EFTSL

Undergraduate Faculty of Business and Economics

Leader: Professor Keith McLaren and Dr Catherine Forbes

Offered

Clayton First semester 2008 (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.

Objectives

The learning objectives of this unit are to:

Assessment

Within semester assessment: 40%
Examination (2 hours): 60%

Contact hours

Two 1-hour lectures and one 2-hour tutorial per week

Prerequisites

One of AFC1100, AFC2100, AFC2140 and one of ETC2400, ETC2410, ETC3440, ETC4344 or permission

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