units

ETF9350

Faculty of Business and Economics

18 September 2017 22 December 2024
Monash University

Postgraduate - Unit

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.

print version

6 points, SCA Band 3, 0.125 EFTSL

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LevelPostgraduate
FacultyFaculty of Business and Economics
Organisational UnitDepartment of Econometrics and Business Statistics
OfferedNot offered in 2013
Coordinator(s)Associate Professor XibinZhang (Bill)

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.

Outcomes

The learning goals associated with this unit are to:

  1. analyse financial data using techniques of descriptive statistics, graphs and tables
  2. evaluate efficient market hypothesis
  3. estimate the capital asset pricing model, the arbitrage pricing theory model and GARCH models
  4. compute value at risk of a portfolio
  5. examine market anomalies.

Assessment

Within semester assessment: 60%
Examination: 40%

Chief examiner(s)

Xibin Zhang

Prerequisites

Students must be enrolled in course codes 3814, 3815, 3816 or 3822 or must have passed AFF9641 or AFF9250