ETC3460 - Financial econometrics

Leader(s): Professor Keith McLaren and Dr Catherine Forbes

Offered

Clayton First semester 2009 (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 goals associated with this unit are to:

• describe the time series and distributional features of financial data
• explain appropriate specification, estimation and testing of asset pricing models
• evaluate the need for volatility models for financial returns
• describe the specification and estimation of conditional volatility models.

Assessment

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

Contact hours

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

Prerequisites

Students must have passed one of the following units: AFC1100, AFC2000, AFC2100, AFC2140 and also one from the following: ECC2410, ETC2410, ETC3440, ETC4344, ETX9344 or be granted permission, before undertaking this unit.

Prohibitions

ETC4346, ETF3300, ETF9300