Undergraduate - UnitETF3300 - Quantitative methods for financial markets

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 2, 0.125 EFTSL

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

Level	Undergraduate
Faculty	Faculty of Business and Economics
Organisational Unit	Department of Econometrics and Business Statistics
Offered	Caulfield Second semester 2015 (Day)
Coordinator(s)	Dr Hsein Kew

Synopsis

This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series. It teaches how to model and estimate the single-factor and multiple-factor capital asset pricing models; and conduct diagnostic checks and reliable statistical inferences on various risk-return relationships and financial market hypotheses. It also introduces recent literature on modelling, estimating and forecasting financial markets' volatility; and parametric and nonparametric methods to estimate the value at risk and expected shortfall. EVIEWS software will be used to carry out financial data analysis and applied research projects.

Outcomes

The learning goals associated with this unit are to:

assess the time series and distributional properties of financial data
evaluate the risk-return relationship among financial assets
estimate the long run relationship among financial time series and test market hypotheses arising in finance
analyse and model the volatility of financial returns and estimated value at risk and relate measures
demonstrate the ability to generate and analyse EViews computer output.

Assessment

Within semester assessment: 35%
Examination: 65%

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)

Dr Hsein Kew

Prerequisites

ETF2100 or ETX2111 or ETX2121 or ETF2121 or equivalent.

Prohibitions

ETC3460, ETF5930, ETF9300