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Financial Econometrics (ECOM40004)
HonoursPoints: 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 time series econometric models and methods is presented. The computer software used is R.
Intended learning outcomes
- 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
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High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis; critical thinking; synthesis of data and other information; evaluation of data and other information; use of computer software; accessing data and other information from a range of sources; receptiveness to alternative ideas.
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Moderate level of development: collaborative learning; team work.
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Some level of development: oral communication.
Last updated: 3 November 2022
Eligibility and requirements
Prerequisites
Admission into BH-COM or BH-ARTS (Economics) and either an Honours grade in ECOM30001 Basic Econometrics or:
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM30002 | Econometrics 2 |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
Corequisites
None
Non-allowed subjects
Students may not gain credit for both
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM40004 | Financial Econometrics | Semester 2 (On Campus - Parkville) |
12.5 |
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM90011 | Financial Econometrics | Semester 2 (On Campus - Parkville) |
12.5 |
Recommended background knowledge
Please refer to Prerequisites and Corequisites.
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
- A 2-hour end-of-semester examination (50%)
- An empirical assignment totalling not more than 3000 words due in week 10 (50%)
Hurdle requirement: 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 2 X 1.5-hour lectures Total time commitment 170 hours Teaching period 23 July 2018 to 21 October 2018 Last self-enrol date 3 August 2018 Census date 31 August 2018 Last date to withdraw without fail 21 September 2018 Assessment period ends 16 November 2018 Semester 2 contact information
Time commitment details
170 Hours
Last updated: 3 November 2022
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Related Handbook entries
This subject contributes to the following:
Type Name Informal specialisation Economics
Last updated: 3 November 2022