Leader: Dr Paul Kim

Offered

Caulfield Second semester 2008 (Evening)

Synopsis

This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series, and teaches how to model and estimate risk return relationship of assets; estimate and test capital asset pricing models and anomalies; and use various statistical procedures to test the efficient market hypothesis. This unit also introduces the recent literature on modelling, estimating and forecasting financial markets' volatility. Parametric, nonparametric and simulation method will be used to estimate the value at risk. EVIEWS computer software will be used to carry out financial data analysis and applied research projects.

Objectives

The learning objectives of this unit are to:

• assess the time series and distributional properties of financial data;
• evaluate the risk return relationship of financial assets;
• estimate the long run relationship among financial time series;
• analyse and model the volatility of financial returns;
• conduct the risk management analysis.

Assessment

Within semester assessment: 50%
Final examination (2 hours): 50%

Contact hours

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

Prerequisites

ETX2111 or ETX2121 and AFF2631

Prohibitions

ETC3460, ETC4346