ETW3481 - Econometric methods for finance - 2017

6 points, SCA Band 3, 0.125 EFTSL

Undergraduate - 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)

Dr Akram Hasanov

Unit guides

Offered

Malaysia

  • Second semester 2017 (Day)

Synopsis

This unit introduces students to a wide range of contemporary financial econometric techniques which are commonly utilised in the financial data analysis. Topics covered include the random walk model, volatility and risk modelling, and several symmetric and asymmetric univariate volatility models. Also, this unit will expose students to applications of econometric analysis in the multivariate asset pricing models, portfolio selection and performance analysis, and volatility transmissions between markets and assets.

Outcomes

The learning goals associated with this unit are to:

  1. understand the properties and distributional characteristics of financial returns
  2. understand and model the first moment (mean) and second moment (volatility)processes
  3. understand the stages of analysis and critically assess the challenges and shortcomings in the models
  4. understand and acquire the skills needed to interpret risk measures (e.g. value at risk)
  5. understand and conduct diagnostic tests of financial time series models and generate forecasts for returns and volatility.

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.

See also Unit timetable information

Chief examiner(s)

Prerequisites