ECONOMETRICS OF FINANCIAL MARKETS

FIN5EME

2021

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

Credit points15

Subject Co-ordinatorGreg Jamieson

Available to Study Abroad/Exchange StudentsYes

Subject year levelYear Level 5 - Masters

Available as ElectiveNo

Learning ActivitiesLecture, tutorial, and assignment

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

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

Select to view your study options…

Start date between: and    Key dates

Melbourne (Bundoora), 2021, Semester 2, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Subject Instance Co-ordinatorGreg Jamieson

Class requirements

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

Assessments

Assessment elementCommentsCategoryContributionHurdle% ILO*

Two hour final examination Equivalent to 2000 words

N/ACentral examIndividualNo50 SILO1, SILO2, SILO3, SILO4, SILO6

Individual Assignments Equivalent to 2000 words

N/AAssignmentIndividualNo30 SILO1, SILO2, SILO3, SILO4, SILO5, SILO6

Online and/or in-class formative assessment tasks Equivalent to 500 words

N/AOtherIndividualNo10 SILO1, SILO2, SILO3, SILO4

One hour formative examination Equivalent to 1,000 words

N/AOther written examIndividualNo10 SILO1, SILO2, SILO3, SILO4, SILO6