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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Start date between: and    Key dates

Melbourne, 2019, Semester 2, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorGreg Jamieson

Class requirements

Computer Laboratory Week: 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.

Lecture Week: 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.

Tutorial Week: 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 elementComments% 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% each40 01, 02, 03, 04, 05, 06
Best four or five 10-minute tutorial quizzes (equivalent to 1500 words)20 01, 02, 03, 04