Financial Econometrics (ECOM40004)

HonoursPoints: 12.5On Campus (Parkville)

You’re viewing the 2020 Handbook:
Or view archived Handbooks
You’re currently viewing the 2020 version of this subject
As part of the University’s response to COVID-19 and the associated Government restrictions and guidelines, most subjects will continue to be delivered online in Winter and Semester 2.
For information about the University’s phased return to campus and in-person activity in Winter and Semester 2, please refer to the on-campus subjects page.

Please refer to the LMS for up-to-date subject information, including assessment and participation requirements, for subjects being offered in 2020.

Overview

Availability
Semester 2
FeesLook 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

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

  • 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.
  • Moderate level of development: collaborative learning; team work.
  • 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
and
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

Due to the impact of COVID-19, assessment may differ from that published in the Handbook. Students are reminded to check the subject assessment requirements published in the subject outline on the LMS

DescriptionTimingPercentage

Assignment 1

  • 1000 words
Week 620%

Assignment 2

  • 1000 words
Week 1220%

End of Semester Examination

  • 2 hours
Hurdle requirement: Successful completion of this subject requires a pass (60%) mark in the final exam.		During the examination period60%

Last updated: 3 November 2022

Dates & times

  • Semester 2
    Principal coordinatorGuay Lim
    Mode of deliveryOn Campus (Parkville)
    Contact hours 2 X 1.5-hour lectures
    Total time commitment170 hours
    Teaching period 3 August 2020 to 1 November 2020
    Last self-enrol date14 August 2020
    Census date21 September 2020
    Last date to withdraw without fail16 October 2020
    Assessment period ends27 November 2020

    Semester 2 contact information

    g.lim@unimelb.edu.au

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.

  • 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: 3 November 2022