6 points, SCA Band 2, 0.125 EFTSL
Postgraduate - Unit
Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.
- Second semester 2018 (On-campus)
, , , or equivalent.
Students must be enrolled in course B6001.
This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series. It teaches how to model and estimate the single-factor and multiple-factor capital asset pricing models; and conduct diagnostic checks and reliable statistical inferences on various risk-return relationships and financial market hypotheses. It also introduces recent literature on modelling, estimating and forecasting financial markets' volatility; and parametric and nonparametric methods to estimate the value at risk and expected shortfall. Statistical software will be used to carry out financial data analysis and applied research projects.
The learning goals associated with this unit are to:
1 assess the time series and distributional properties of financial data
2 evaluate the risk-return relationship among financial assets
3 estimate the long run relationship among financial time series and test market hypotheses arising in finance
4 analyse and model the volatility of financial returns and estimated value at risk and relate measures
5 demonstrate the ability to generate and analyse computer output
6 critically analyse the application of principles underlying quantitative methods in finance.
Within semester assessment: 40% + Examination: 60%
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