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316-449 Financial Econometrics | |
Credit Points | 12.5 |
HECS Band | 2 |
Coordinator | Associate Professor G Lim |
Prerequisites | 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. |
Semester | 2 (view timetable) |
Contact | Three hours a week of classes for one semester |
Subject Description | This subject presents an econometric treatment of topics in finance. Normally the finance topics will include portfolio theory, capital asset pricing models, arbitrage pricing theory, efficient markets models, covered interest parity, term structure of interest rates, and option pricing models. The econometrics topics will include unit roots, cointegration, ARCH modelling, structural change, and regime-switching. The computer software used is EVIEWS. |
Assessment | A 2-hour examination (50%) and empirical assignments of up to 3000 words (50%). |
Search : Index : Faculty of Economics and Commerce : Economics
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