Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 201)
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Year 4 Economics.
Credit points: 12.5
Coordinator: Dr P Wu.
Prerequisite: 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.
Contact: Three hours a week of classes for one semester.
Timetable: Second semester
Objectives:
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.
Content:
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.
Assessment:
A 2-hour examination (50 per cent) and empirical assignments of up to 3,000 words (50 per cent).
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Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 201)
Status: Official 1996 Date created: Oct 9 1995 Last modified: Oct 9 1995 Authorised by: Academic Registrar Email enquiries: Course_Information@registrar.unimelb.edu.au
Maintained by: Dept. of Economics, Faculty of Economics and Commerce.
Copyright © University of Melbourne 1995,1996.