QUANTITATIVE RISK ANALYSIS
FIN3QRA
Not currently offered
Credit points: 15
Subject outline
This subject covers the issues related to time series modelling of financial data. The main topics include modelling financial returns and assessing their predictability; estimation of long run relationships in finance; and estimation of financial volatility and its application to risk management. A range of econometric methods are employed, including the regression analysis, ARMA models, unit root tests, cointegration analysis, and GARCH-type models. There will be a strong focus on applications using econometrics package EViews.
School: La Trobe Business School (Pre 2022)
Credit points: 15
Subject Co-ordinator: Jae Kim
Available to Study Abroad/Exchange Students: Yes
Subject year level: Year Level 3 - UG
Available as Elective: No
Learning Activities: N/A
Capstone subject: No
Subject particulars
Subject rules
Prerequisites: ECO2BFC OR ECO2EME OR ECO2ISB OR ECM2IE
Co-requisites: N/A
Incompatible subjects: ECO3ITE OR ECO2ITE OR FIN2EFM
Equivalent subjects: N/A
Quota Management Strategy: N/A
Quota-conditions or rules: N/A
Special conditions: N/A
Minimum credit point requirement: N/A
Assumed knowledge: N/A
Career Ready
Career-focused: No
Work-based learning: No
Self sourced or Uni sourced: N/A
Entire subject or partial subject: N/A
Total hours/days required: N/A
Location of WBL activity (region): N/A
WBL addtional requirements: N/A