ETC3460

Financial econometrics

Associate Professor Keith McLaren

6 points
* Two 1-hour lectures and one 2-hour tutorial per week
* First semester
* Clayton
* Prerequisites: AFC2140 or AFC3140 and ETC2400 or ETC2410

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%