Financial Econometrics

Subject 316-673 (2008)

Note: This is an archived Handbook entry from 2008.Search for this in the current handbook

Credit Points: 12.500
Level: Graduate/Postgraduate
Dates & Locations:

This subject has the following teaching availabilities in 2008:

Semester 2, - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period not applicable
Assessment Period End not applicable
Last date to Self-Enrol not applicable
Census Date not applicable
Last date to Withdraw without fail not applicable


Timetable can be viewed here. For information about these dates, click here.
Time Commitment: Contact Hours: Three hours of classes per week plus three hours ofseminars during the semester (Semester 2).
Total Time Commitment: Not available
Prerequisites: 316-678 Econometric Techniques.
Corequisites: None
Recommended Background Knowledge: None
Non Allowed Subjects: None
Core Participation Requirements:

For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.

It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support: http://services.unimelb.edu.au/disability

Coordinator

Professor G Lim
Subject Overview: The subject presents an econometric treatment of topics in finance. Normally the finance topics will include portfolio theory, capital asset pricing models, arbitrage pricing theory, efficient markets hypothesis, covered interest parity, term structure of interest rates, and option pricing models. The econometrics topics will include unit roots, cointegration, ARCH modelling, structural change, and regime-switching. The computer software used is EVIEWS.
Assessment: A 2-hour end-of-semester examination (50%), and assignments of up to 5000 words in total (50%).
Prescribed Texts: None
Breadth Options:

This subject is not available as a breadth subject.
Fees Information: Subject EFTSL, Level, Discipline & Census Date
Generic Skills: 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.

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
Related Course(s): Master of Commerce - Economics
Master of Commerce - Finance

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