FIN5EME
ECONOMETRICS OF FINANCIAL MARKETS
FIN5EME
2019
Credit points: 15
Subject outline
In this subject, you will cover the modern regression and time series analysis applicable to business and financial data. The main topics include: Applications of the applied econometrics modeling to analyze financial markets -including making informed corporate and business decisions; Estimation of empirical asset pricing models and its applications; Efficient Market Hypothesis and the notion of financial asset's predictability; Modelling long-run relationships in business and economics; and Modelling financial volatility and its application to risk management. Strong emphasis will be given to application of the methods using the econometrics package Eviews.
SchoolLa Trobe Business School
Credit points15
Subject Co-ordinatorGreg Jamieson
Available to Study Abroad StudentsYes
Subject year levelYear Level 5 - Masters
Exchange StudentsYes
Subject particulars
Subject rules
Prerequisites ECO5SBF or FIN5SBF or BUS5SBF
Co-requisitesN/A
Incompatible subjectsN/A
Equivalent subjectsN/A
Special conditionsN/A
Graduate capabilities & intended learning outcomes
01. Apply simple regression.
- Activities:
- lecture, tutorial, and assignment
- Related graduate capabilities and elements:
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
02. Evaluate the properties of good estimators, the Gauss-Markov Theorem and the assumptions it requires.
- Activities:
- lecture, tutorial, and assignment
- Related graduate capabilities and elements:
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
03. Model stationary and no-stationary financial time series including cointegrated time series.
- Activities:
- lecture, tutorial, and assignment
- Related graduate capabilities and elements:
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
04. Estimate, model and forecast financial asset (price) volatility.
- Activities:
- lecture, tutorial, and assignment
- Related graduate capabilities and elements:
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
05. Use the software package EViews, and to diagnose violation of assumptions, and perform estimation and hypothesis tests
- Activities:
- lecture, tutorial, and assignment
- Related graduate capabilities and elements:
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
06. Apply the econometric methods to solve real-world problems
- Activities:
- lecture, tutorial, and assignment
- Related graduate capabilities and elements:
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
Subject options
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Melbourne, 2019, Semester 2, Day
Overview
Online enrolmentYes
Maximum enrolment sizeN/A
Enrolment information
Subject Instance Co-ordinatorGreg Jamieson
Class requirements
Computer LaboratoryWeek: 32 - 43
One 1.0 hours computer laboratory per week on weekdays during the day from week 32 to week 43 and delivered via face-to-face.
LectureWeek: 31 - 43
One 2.0 hours lecture per week on weekdays during the day from week 31 to week 43 and delivered via face-to-face.
TutorialWeek: 32 - 43
One 1.0 hours tutorial per week on weekdays during the day from week 32 to week 43 and delivered via face-to-face.
Assessments
| Assessment element | Comments | % | ILO* |
|---|---|---|---|
| one 2-hour final examination (equivalent to 2000 words) | 40 | 01, 02, 03, 04, 06 | |
| 2 assignments (equivalent to 1500 words each) | Worth 20% each | 40 | 01, 02, 03, 04, 05, 06 |
| Best four or five 10-minute tutorial quizzes (equivalent to 1500 words) | 20 | 01, 02, 03, 04 |