Monash University Handbook 2011 Undergraduate - Unit

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

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 goals associated with this unit are to:

1. assess the time series and distributional properties of financial data
2. evaluate the risk return relationship of financial assets
3. estimate the long run relationship among financial time series
4. analyse and model the volatility of financial returns
5. conduct the risk management analysis.

Assessment

Within semester assessment: 50%
Examination (2 hours): 50%

Chief examiner(s)

Roland Shami

Contact hours

3 hours per week

Prerequisites

ETF2100 or ETX2111 or ETX2121 or equivalent.

Prohibitions

ETC3460, ETC4346