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.

ETF5930 - 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)

Professor Param Silvapulle

Offered

Caulfield

First semester 2016 (Evening)
Second semester 2016 (Day)

Synopsis

This unit covers statistics econometrics tools to: analyse and model the key characteristics of empirical distributions of asset returns; model and estimate the simple capital asset pricing model and its extensions; and test for various financial market hypotheses. It includes modelling, estimating and analysing time series properties of stationary and non-stationary financial data: and modelling and estimating simple and multivariate long-run relationships among financial variables; and conducting Granger causality testing. It also includes modelling and estimation of ARCH/GARCH volatilities and time-varying risk premium on financial assets; and estimation of value-at-risks and expected shortfalls of assets and portfolios. Students will be requested to work through a number of questions and projects with a broad range of financial data sets.

Outcomes

The learning goals associated with this unit are to:

describe, interpret and critically analyse financial data
apply the simple and multivariate models and theory to model the relationship among financial variables, interpret the results, and conduct reliable statistical inference
test for stationary behaviour of financial time series
model the long-run relationships among financial time series
model the volatility in financial data and perform value-at-risk calculations that are used as an input into the financial decision making process
be proficient at econometric modelling of financial data using the software EVIEWS, which is widely used in the commercial world.

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 Param Silvapulle

Prerequisites

Students must be enrolled in course 3818, 3850 or 4412, or must have passed AFF9641, BFF5925 or AFF9250.

Prohibitions

ETC3460, ETC5346, ETF3300, ETF9300