fin5eme econometrics of financial markets

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.

SchoolLa Trobe Business School (Pre 2022)

Credit points15

Subject Co-ordinatorDinh Phan

Available to Study Abroad/Exchange StudentsYes

Subject year levelYear Level 5 - Masters

Exchange StudentsNo

Available as ElectiveNo

Learning ActivitiesN/A

Capstone subjectNo

Subject particulars

Subject rules

PrerequisitesBUS5SBF OR FIN5SBF OR ECO5SBF

Co-requisitesN/A

Incompatible subjectsN/A

Equivalent subjectsN/A

Quota Management StrategyN/A

Quota-conditions or rulesN/A

Special conditionsN/A

Minimum credit point requirementN/A

Assumed knowledgeN/A

Career Ready

Career-focusedNo

Work-based learningNo

Self sourced or Uni sourcedN/A

Entire subject or partial subjectN/A

Total hours/days requiredN/A

Location of WBL activity (region)N/A

WBL addtional requirementsN/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

Subject options

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Melbourne (Bundoora), 2020, Semester 2, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment informationN/A

Subject Instance Co-ordinatorDinh 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