Monash University Handbooks 2008

ETF9350 - Econometrics for financial markets

6 points, SCA Band 3, 0.125 EFTSL

Postgraduate Faculty of Business and Economics

Leader: Dr Bill Zhang

Offered

Caulfield First semester 2008 (Evening)
Caulfield Second semester 2008 (Evening)

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 testing methods for efficient market hypothesis. It demonstrates how to estimate the capital asset pricing model, arbitrage pricing model and volatility models. Parametric, nonparametric and simulation methods are used to estimate the value at risk of assets and portfolios.

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

Within semester assessment: 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.

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