6 points, SCA Band 3, 0.125 EFTSL
Postgraduate - Unit
Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.
- First semester 2018 (Evening)
Students must have passed BFF5925 or equivalent or be enrolled in course B6003.
, , , ETF9300
This unit covers statistics econometrics tools to: analyse and model the key characteristics of empirical distributions of asset returns; model and estimate the simple capital asset pricing model and its extensions; and test for various financial market hypotheses. It includes modelling, estimating and analysing time series properties of stationary and non-stationary financial data: and modelling and estimating simple and multivariate long-run relationships among financial variables; and conducting Granger causality testing. It also includes modelling and estimation of ARCH/GARCH volatilities and time-varying risk premium on financial assets; and estimation of value-at-risks and expected shortfalls of assets and portfolios. Students will be requested to work through a number of questions and projects with a broad range of financial data sets.
The learning goals associated with this unit are to:
- describe, interpret and critically analyse financial data
- apply the simple and multivariate models and theory to model the relationship among financial variables, interpret the results, and conduct reliable statistical inference
- test for stationary behaviour of financial time series
- model the long-run relationships among financial time series
- model the volatility in financial data and perform value-at-risk calculations that are used as an input into the financial decision making process
- be proficient at econometric modelling of financial data using the software EVIEWS, which is widely used in the commercial world.
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