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Applied financial econometrics ( 6 points, SCA Band 2, 0.125 EFTSL)


Leader: Dr Jonathan Dark

Caulfield Second semester 2006 (Day)

Synopsis: Illustrates how statistical and econometric methods can be applied to financial data to solve problems arising in financial markets.Also covers modelling, estimating and testing the volatility of financial markets. Practical examples will be discussed in lectures to enhance the understanding of analysing financial data using the statistical and econometric tools taught in this unit. An integral component will be the completion of a number of minor research projects enabling students to develop the necessary skills.

Assessment: Two projects: 60%; + Examination (2 hour): 40%

Contact Hours: One 2-hour lecture and one 1-hour tutorial/practical per week

Prerequisites: Prerequisites: Students must be enrolled in course codes 3816 or 3822 OR must have passed AFF2631 and any of ETF3200, ETF3300, ETF9200 or ETF9300.