This unit entry is for students who completed this unit in 2016 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.

ETF5300 - Applied financial econometrics

6 points, SCA Band 3, 0.125 EFTSL

Postgraduate - Unit

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

Faculty

Business and Economics

Organisational Unit

Department of Econometrics and Business Statistics

Coordinator(s)

Associate Professor Bill Zhang

Offered

Caulfield

Second semester 2016 (Evening)

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%

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)

Associate Professor Bill Zhang

Prerequisites

Students must be enrolled in course code 4412 or 3822, or must have passed either ETF3200, ETF3300, ETC3460, ETF5930, ETF9300 or equivalent.