Financial Econometrics

Subject ECOM90011 (2011)

Note: This is an archived Handbook entry from 2011.

Credit Points: 12.50
Level: 9 (Graduate/Postgraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2011:

Semester 2, Parkville - 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 per week.
Total Time Commitment: Estimated total time commitment of 120 hours per semester
Prerequisites:

ECOM40006 Econometric Techniques / ECOM90013 Econometric Techniques

Subject
Study Period Commencement:
Credit Points:
Corequisites: None
Recommended Background Knowledge: None
Non Allowed Subjects: ECOM40004 Financial Econometrics
Subject
Core Participation Requirements:

For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.

The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/

Coordinator

Assoc Prof Olan T Henry

Contact

Graduate School of Business and Economics
Level 4, 198 Berkeley Street
Telephone: +61 3 8344 1670
Online Enquiries
Web: www.gsbe.unimelb.edu.au

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.
Objectives: 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.
Assessment:
  • 2-hour end-of-semester examination (50%)
  • Assignments of up to 5000 words in total (50%)
Prescribed Texts: You will be advised of prescribed texts by your lecturer.
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 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
Notes:

Students may not gain credit for both ECOM90011 Financial Econometrics and ECOM40004 Financial Econometrics.

Related Course(s): Doctor of Philosophy - Business and Economics
Master of Commerce - Economics
Master of Commerce - Finance

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