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.
School: La Trobe Business School
Credit points: 15
Subject Co-ordinator: Greg Jamieson
Available to Study Abroad Students: Yes
Subject year level: Year Level 5 - Masters
Exchange Students: Yes
Subject particulars
Subject rules
Prerequisites: ECO5SBF or FIN5SBF or BUS5SBF
Co-requisites: N/A
Incompatible subjects: N/A
Equivalent subjects: N/A
Special conditions: N/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)
Melbourne, 2019, Semester 2, Day
Overview
Online enrolment: Yes
Maximum enrolment size: N/A
Enrolment information:
Subject Instance Co-ordinator: Greg 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 |