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Handbook 1997 : Faculty of Economics and Commerce : Economics

316-449 Financial Econometrics

Coordinator:

Dr P Wu

Prerequisite/s:

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.

Timetable:

Semester 2

Contact:

Three hours a week of classes for one 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%) and empirical assignments of up to 3000 words (50%).
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Handbook 1997 : Faculty of Economics and Commerce : Economics 
Status:                   OFFICIAL 1997
Last Modified:            Wednesday March 12 3:36 pm
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Email Enquiries:          Course_Information@registrar.unimelb.edu.au
Copyright © University of Melbourne 1997.