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Financial Econometrics (ECOM40004)
HonoursPoints: 12.5Dual-Delivery (Parkville)
Please refer to the return to campus page for more information on these delivery modes and students who can enrol in each mode based on their location.
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 - Dual-Delivery |
---|---|
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
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: 31 January 2024
Eligibility and requirements
Prerequisites
Admission into or selection of one of the following:
- BH-COM Bachelor of Commerce (Degree with Honours)
- Economics specialisation (formal) in the BH-ARTS Bachelor of Arts (Degree with Honours)
AND
Either:
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM30002 | Econometrics 2 |
Semester 1 (Online)
Semester 2 (Dual-Delivery - Parkville)
|
12.5 |
OR
A mark of 65% or above in:
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM30001 | Basic Econometrics | Semester 1 (Online) |
12.5 |
Corequisites
None
Non-allowed subjects
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM90011 | Financial Econometrics | Semester 2 (Dual-Delivery - 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: 31 January 2024
Assessment
Description | Timing | Percentage |
---|---|---|
Assignment 1
| Week 6 | 20% |
Assignment 2
| Week 12 | 20% |
End-of-semester examination
| During the examination period | 60% |
Additional details
Important online examination information: This examination is the equivalent of a 2-hour assessment; however, students are provided with 3-hours to accommodate the time that will be required for typesetting of mathematical expressions.
Last updated: 31 January 2024
Dates & times
- Semester 2
Principal coordinator Guay Lim Mode of delivery Dual-Delivery (Parkville) Contact hours 2 X 1.5-hour lectures Total time commitment 170 hours Teaching period 26 July 2021 to 24 October 2021 Last self-enrol date 6 August 2021 Census date 31 August 2021 Last date to withdraw without fail 24 September 2021 Assessment period ends 19 November 2021 Semester 2 contact information
Time commitment details
170 Hours
Last updated: 31 January 2024
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: 31 January 2024