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Financial Econometrics (ECOM90011)
Graduate courseworkPoints: 12.5On Campus (Parkville)
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 2
Overview
Availability | Semester 2 |
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Fees | Look up fees |
Features of financial data require specific methods of analysis. Basic econometric tools are presented for the analysis of data such as stock exchange returns, exchange rates, bonds prices, etc. Applications of econometric models in finance include option pricing, extreme values and value at risk as well as financial assets portfolio selection. A special focus is put on modelling and forecasting of returns and volatility of financial assets. An up to date selection of time series econometric models and methods is presented. The computer software used is R.
Intended learning outcomes
On successful completion of this subject students should be able to:
- Describe the properties of econometric techniques (such as unit roots, cointegration, ARCH/GARCH and Kalman filters) used in financial analysis;
- Apply econometric techniques to test hypothesis in financial economics (such as the efficient markets hypothesis, the theory of speculative efficiency, the capital asset pricing model);
- Evaluate the robustness of results obtained from using econometric techniques on real world financial data;
- Analyse results obtained from financial data and explain their implications for economic and financial theory.
Generic skills
On successful completion of this subject, students should have improved the following generic skills:
- Evaluation of ideas, views and evidence
- Synthesis of ideas, views and evidence
- Critical thinking
- Accessing economic and other information
- Summary and interpretation of information
- Using computer programs
- Statistical reasoning
- Problem solving skills
- Collaborative learning and teamwork
- Written communication
Last updated: 3 November 2022
Eligibility and requirements
Prerequisites
Entry into the Master of Commerce (Finance) or completion of either of the following subjects:
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM40006 | Econometric Techniques | Semester 1 (On Campus - Parkville) |
12.5 |
ECOM90013 | Econometric Techniques | Semester 1 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
ECOM40004 Financial Econometrics
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM40004 | Financial Econometrics | Semester 2 (On Campus - Parkville) |
12.5 |
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 3 November 2022
Assessment
Additional details
- 2-hour end-of-semester examination (50%); and
- 3000 word empirical assignment due in week 10 (50%).
Note: Successful completion of this subject requires a pass (50%) in the final exam.
Last updated: 3 November 2022
Dates & times
- Semester 2
Principal coordinator Tomasz Wozniak Mode of delivery On Campus (Parkville) Contact hours Three hours of lectures per week. Total time commitment 170 hours Teaching period 24 July 2017 to 22 October 2017 Last self-enrol date 4 August 2017 Census date 31 August 2017 Last date to withdraw without fail 22 September 2017 Assessment period ends 17 November 2017 Semester 2 contact information
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 3 November 2022
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Subject notes
Students may not gain credit for both ECOM90011 Financial Econometrics and ECOM40004 Financial Econometrics.
- Related Handbook entries
This subject contributes to the following:
Type Name Course Doctor of Philosophy - Business and Economics Course Master of Commerce (Finance) Course Master of Applied Econometrics Course Master of Economics - Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
Last updated: 3 November 2022