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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 (login required)(opens in new window)
Contact information
Semester 2
Overview
Availability | Semester 2 |
---|---|
Fees | Look up fees |
Econometric tools based on maximum likelihood and generalised method of moments are used to analyse financial data including stock returns, exchange rates, option prices, interest rates and bonds prices. Applications consist of multi-factor models in finance, univariate and multivariate models of volatility, long-run models of prices using cointegration and panel cointegration. A range of computer software and financial databases will be used throughout the course. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.
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
- Orally present the results of an independent piece of research
- Complete a written research project
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: 31 January 2024
Eligibility and requirements
Prerequisites
Admission into the MC-COMFIN Master of Commerce (Finance)
OR
One of
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM40006 | Econometrics 3 | Semester 1 (On Campus - Parkville) |
12.5 |
ECOM90013 | Econometrics 3 | Semester 1 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
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: 31 January 2024
Assessment
Description | Timing | Percentage |
---|---|---|
Assignment 1
| Week 6 | 20% |
Assignment 2
| Week 10 | 20% |
Research Project (including Oral Presentation)
| From Week 12 to Week 13 | 60% |
Additional details
Students are required to complete an oral presentation of their Research Project in Week 12. The final version of the Research Project is due in Week 13.
The Research Report is not to exceed 3,000 words. An electronic copy of the completed Research Report is required to be submitted. A copy of all data used and any relevant work-files containing transformed data will also be required to be submitted at the same time.
Last updated: 31 January 2024
Dates & times
- Semester 2
Principal coordinator Guay Lim Mode of delivery On Campus (Parkville) Contact hours Three hours of lectures per week. Total time commitment 170 hours Teaching period 22 July 2024 to 20 October 2024 Last self-enrol date 2 August 2024 Census date 2 September 2024 Last date to withdraw without fail 20 September 2024 Assessment period ends 15 November 2024 Semester 2 contact information
Time commitment details
Estimated total time commitment of 170 hours per semester
What do these dates mean
Visit this webpage to find out about these key dates, including how they impact on:
- Your tuition fees, academic transcript and statements.
- And for Commonwealth Supported students, your:
- Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.
Last updated: 31 January 2024
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 Master of Economics Course Master of Commerce (Finance) Course Master of Applied 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: 31 January 2024