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Financial Econometrics (ECOM90011)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Overview

Year of offer2019
Subject levelGraduate coursework
Subject codeECOM90011
Campus
Parkville
Availability
Semester 2
FeesSubject EFTSL, Level, Discipline & Census Date

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

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 Econometrics 3
Semester 1
12.5
ECOM90013 Econometrics 3
Semester 1
12.5

Corequisites

None

Non-allowed subjects

ECOM40004 Financial Econometrics

Code Name Teaching period Credit Points
ECOM40004 Financial Econometrics
Semester 2
12.5

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

Assessment

Description

  • 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.

Dates & times

  • Semester 2
    Principal coordinatorGuay Lim
    Mode of deliveryOn Campus — Parkville
    Contact hoursThree hours of lectures per week.
    Total time commitment170 hours
    Teaching period29 July 2019 to 27 October 2019
    Last self-enrol date 9 August 2019
    Census date31 August 2019
    Last date to withdraw without fail27 September 2019
    Assessment period ends22 November 2019

    Semester 2 contact information

Time commitment details

Estimated total time commitment of 170 hours per semester

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.

  • 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.

  • Available to Study Abroad and/or Study Exchange Students

    This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.

Last updated: 11 November 2018