Authorised by Academic Registrar, April 1996
Objectives On completion of this subject students should understand how and why financial market data differ from typical economic data; be aware of recent developments in econometrics designed for financial applications; have obtained practical experience in the application of these methods, and the reporting and analysis of results of applications designed for a financial setting.
Synopsis 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 and GARCH models of financial time series, with applications to stock and bond prices, derivatives, interest rates and exchange rates including the forecast performance of these models.
Assessment Written (2 assignments [computing and reports]): 40% + Examination (2 hours): 60%