Financial Econometrics

This subject has the following teaching availabilities in 2016:

Estimated total time commitment of 120 hours per semester

Entry into the Master of Commerce (Finance) or completion of either of the following subjects:

ECOM40004 Financial Econometrics

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

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:

• 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.

• 2-hour end-of-semester examination (50%); and
• 3000 word empirical assignment due in week 10 (50%).

You will be advised of prescribed texts by your lecturer.

This subject is not available as a breadth subject.

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

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