Postgraduate - UnitETF5300 - Applied financial econometrics

This unit entry is for students who completed this unit in 2013 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

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6 points, SCA Band 3, 0.125 EFTSL

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Level	Postgraduate
Faculty	Faculty of Business and Economics
Organisational Unit	Department of Econometrics and Business Statistics
Offered	Caulfield Second semester 2013 (Evening)
Coordinator(s)	Professor Param Silvapulle

Synopsis

Illustrates how statistical and econometric methods can be applied to financial data to solve problems arising in financial markets. Also covers modelling, estimating and testing the volatility of financial markets. Practical examples will be discussed in lectures to enhance the understanding of analysing financial data using the statistical and econometric tools taught in this unit. An integral component will be the completion of a number of minor research projects enabling students to develop the necessary skills.

Outcomes

The learning goals associated with this unit are to:

identify the issues involved when modelling the dynamics of financial markets
estimate volatility models using econometrics software
critically evaluate the financial econometrics literature
explain the financial market applications of the non linear models developed
undertake a research project that applies the techniques and analysis to a financial market of interest.

Assessment

Within semester assessment: 60%
Examination: 40%

Chief examiner(s)

Professor Param Silvapulle

Contact hours

3 hours per week

Prerequisites

Students must be enrolled in course code 4412, 3816 or 3822 AND must have passed ETF3300 or ETC3460