ECONOMETRICS FOR FINANCIAL MARKETS
FIN2EFM
Not currently offered
Credit points: 15
Subject outline
The purpose of this subject is to introduce students to the theoretical and applied aspects of univariate time series modelling in Finance. The topics to be discussed include the motivation for a time series analysis, difference equations, exponential smoothing, the Box-Jenkins approach to modelling,forcasting testing for non-stationarity and the theoretical and applied aspect of ARCH-GARCH models in Finance. There will be a strong focus on applications and on the use of the EViews econometrics package.
Faculty: Faculty of Business, Economics and Law
Credit points: 15
Subject Co-ordinator: Laszlo Konya
Available to Study Abroad Students: Yes
Subject year level: Year Level 2 - UG
Exchange Students: Yes
Subject particulars
Subject rules
Prerequisites: ECO2ISB or ECO2EME or ECO2BFC
Co-requisites: N/A
Incompatible subjects: FIN3EFM, ECO2ITE, ECO3ITE
Equivalent subjects: N/A
Special conditions: N/A