Note: This is an archived Handbook entry from 2009. Search for this in the current handbook
|Dates & Locations:|| |
This subject has the following teaching availabilities in 2009:Semester 1, - Taught on campus.
Timetable can be viewed here. For information about these dates, click here.
|Time Commitment:||Contact Hours: Three hours per week of lectures and tutorials (Semester 1). |
Total Time Commitment: Not available
|Prerequisites:||316-206 Quantitative Methods 2 or equivalent.|
|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
CoordinatorAssoc Prof Olan T Henry
|Subject Overview:||This course is concerned with the application of quantitative tools to model, estimate and forecast financial variables. Topics considered include: the analysis of the properties of financial data (such as non-normality and non-stationarity); the application of estimation methods (such as unit roots and cointegration) to test the rational valuation model of share prices; the application of the GARCH class of models to estimate volatility and to test the capital asset pricing model. The course will also include an introduction to more complex financial econometrics (such as artificial neural-networks, generalised method of moments and state-space modelling).|
|Objectives:||On successful completion of this subject students should be able to: |
|Assessment:||A mid-semester assignment (30%) and a take-home final examination (70%).|
|Breadth Options:|| |
This subject is not available as a breadth subject.
|Fees Information:||Subject EFTSL, Level, Discipline & Census Date|
On successful completion of this subject, students should have improved the following generic skills:
|Notes:||This subject is only available to students in the Postgraduate Diploma in Finance or the first year of the Master of Financial Management.|
Master of Finance |
Master of Financial Management
Postgraduate Diploma in Finance
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