316-449 Financial Econometrics

Students may not gain credit for both 316-449 Financial Econometrics and 316-673 Financial Econometrics.

316-317 Econometrics or an honours grade in 316-316 Basic Econometrics. Some familiarity with the principles of financial analysis is desirable.

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 hypothesis, 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.

• High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis; critical thinking; synthesis of data and other information; evaluation of data and other information; use of computer software; accessing data and other information from a range of sources; receptiveness to alternative ideas.

• Moderate level of development: collaborative learning; team work.

• Some level of development: oral communication.

A 2-hour end-of-semester examination (50%) and empirical assignments totalling not more than 3000 words (50%).