Dr P Wu. A pass or better in 316-317 Econometrics or an honours grade in 316-316 Basic Econometrics; in special circumstances Diploma students may be given permission to enrol. Some familiarity with the principles of financial analysis is desirable. Second semester Three hours a week of classes for one semester. On completion of this subject students should be able to:

• construct and test hypothesis dealing with financial data using advanced econometric techniques;
• be familiar with ARCH and GARCH models;
• extend their knowledge of financial econometrics via independent study and by taking advanced subjects in this area.

An econometric treatment of topics in finance. Topics chosen from: portfolio theory; capital asset pricing models; Arbitrage pricing theory; efficient markets hypothesis; covered interest parity; term structure of interest rates; option pricing models; dividend policy; event studies. A 2-hour examination (50 per cent) and empirical assignments of up to 3,000 words (50 per cent).