ECONOMETRICS OF FINANCIAL MARKETS

FIN5EME

2020

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 modelling to analyse 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 (Pre 2022)

Credit points: 15

Subject Co-ordinator: Dinh Phan

Available to Study Abroad/Exchange Students: Yes

Subject year level: Year Level 5 - Masters

Exchange Students: No

Available as Elective: No

Learning Activities: N/A

Capstone subject: No

Subject particulars

Subject rules

Prerequisites: BUS5SBF OR FIN5SBF OR ECO5SBF

Co-requisites: N/A

Incompatible subjects: N/A

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

Graduate capabilities & intended learning outcomes

Graduate Capabilities

DISCIPLINE KNOWLEDGE AND SKILLS

INQUIRY AND ANALYSIS - Creativity and Innovation

INQUIRY AND ANALYSIS - Critical Thinking and Problem Solving

INQUIRY AND ANALYSIS - Research and Evidence-Based Inquiry

Intended Learning Outcomes

01. Apply simple regression.

02. Evaluate the properties of good estimators, the Gauss-Markov Theorem and the assumptions it requires.

03. Model stationary and no-stationary financial time series including cointegrated time series.

04. Estimate, model and forecast financial asset (price volatility.

05. Use the software package EViews, and to diagnose violation of assumptions, and perform estimation and hypothesis tests

06. Apply the econometric methods to solve real-world problems

Melbourne (Bundoora), 2020, Semester 2, Day

Overview

Online enrolment: Yes

Maximum enrolment size: N/A

Enrolment information: N/A

Subject Instance Co-ordinator: Dinh Phan

Class requirements

Computer LaboratoryWeek: 32 - 43
One 1.00 hour 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 2.00 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 1.00 hour tutorial per week on weekdays during the day from week 32 to week 43 and delivered via face-to-face.

Assessments

Assessment element	Comments	Category	Contribution	Hurdle	%	ILO*
Two hour final examinationEquivalent to 2000 words	N/A	N/A	N/A	No	50	SILO1, SILO2, SILO3, SILO4, SILO6
Individual AssignmentsEquivalent to 2000 words	N/A	N/A	N/A	No	30	SILO1, SILO2, SILO3, SILO4, SILO5, SILO6
Online and/or in-class formative assessment tasksEquivalent to 500 words	N/A	N/A	N/A	No	10	SILO1, SILO2, SILO3, SILO4
One hour formative examinationEquivalent to 1,000 words	N/A	N/A	N/A	No	10	SILO1, SILO2, SILO3, SILO4, SILO6