Note: This is an archived Handbook entry from 2014.
|Dates & Locations:|| |
This subject is not offered in 2014.
|Time Commitment:||Contact Hours: Three hours of lectures per week. |
Total Time Commitment:
Estimated total time commitment of 120 hours per semester
Entry into the Master of Commerce (Finance) or completion of either of the following subjects:
Study Period Commencement:
|Recommended Background Knowledge:|| |
|Non Allowed Subjects:|| |
ECOM40004 Financial Econometrics
|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/
Features of financial data require specific methods of analysis. Basic econometric tools are presented for the analysis of data such as stock exchange returns, exchange rates, bonds prices, etc. Applications of econometric models in finance include option pricing, extreme values and value at risk as well as financial assets portfolio selection. A special focus is put on modelling and forecasting of returns and volatility of financial assets. An up to date selection of time series econometric models and methods is presented. The computer software used is R.
On successful completion of this subject students should be able to:
|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|
On successful completion of this subject, students should have improved the following generic skills:
Students may not gain credit for both ECOM90011 Financial Econometrics and ECOM40004 Financial Econometrics.
Doctor of Philosophy - Business and Economics |
Master of Economics
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