Financial Econometrics

Subject 316-449 (2009)

Note: This is an archived Handbook entry from 2009. Search for this in the current handbook

Credit Points: 12.50
Level: 4 (Undergraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2009:

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 lectures/seminars/tutorials per week
Total Time Commitment: Not available
Prerequisites:

316-317 Econometrics or an honours grade in 316-316 Basic Econometrics. Some familiarity with the principles of financial analysis is desirable.

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

Assoc Prof Olan T Henry
Subject Overview:

This 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.

Objectives: .
Assessment:

A 2-hour end-of-semester examination (50%) and empirical assignments totalling not more than 3000 words (50%).
Prescribed Texts: None
Recommended Texts:

Information Not Available
Breadth Options:

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

Students may not gain credit for both 316-449 Financial Econometrics and 316-673 Financial Econometrics.

Related Course(s): Master of Finance
Master of Financial Management
Postgraduate Diploma In Economics
Postgraduate Diploma in Finance
Related Majors/Minors/Specialisations: Economics

Download PDF version.