Postgraduate - UnitETC5346 - Financial econometrics

This unit entry is for students who completed this unit in 2015 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

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

Level	Postgraduate
Faculty	Faculty of Business and Economics
Organisational Unit	Department of Econometrics and Business Statistics
Offered	Clayton First semester 2015 (Day)
Coordinator(s)	Professor Heather Anderson

Synopsis

This unit focuses on 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.

Outcomes

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
critically analyse the use of time series in pricing of financial products.

Assessment

Within semester assessment: 40%
Examination: 60%

Workload requirements

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

Chief examiner(s)

Professor Heather Anderson

Prerequisites

Students must be granted permission to undertake this unit to ensure an appropriate background in Finance and Econometrics.