Financial econometrics
Associate Professor Keith McLaren and Dr Paul Kofman
6 points
* Two 1-hour lectures and one 2-hour tutorial per week
*
First semester
* Clayton
* Prerequisites: AAF2140 or AAF3140 and
ECM2400 or ECM2410
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 models of financial time series, with applications to stock prices, derivatives, and exchange rates including the forecast performance of these models; comparison with the Riskmetrics TM methodology.
Assessment Written (2 assignments [computing and reports]): 40%
*
Examination (2 hours): 60%
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