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ECMT2130 - Financial Econometrics
Faculty of Arts and Social Sciences - 6 credit points
HECS Band five
Domestic Fee: $3,480
International Fee: $4,080
EFTSL: 0.125000000
Help? - Unit of Study Costs
Department: Economics
Offered session(s): 2
Prerequisites: ECMT2110 or ECMT2010
Prohibitions: ECMT2030
Classes: 1x2-hr lecture/week, 1x1-hr tutorial/week

Assessment: 2x assignments (2x20%) and 1x2hr final exam (60%)

Over the last decade econometric modelling of financial data has become an important part of the operations of merchant banks and major trading houses and a vibrant area of employment for econometricians. This unit provides an introduction to some of the widely used econometric models for financial data and the procedures used to estimate them. Special emphasis is placed upon empirical work and applied analysis of real market data. Topics covered may include the statistical characteristics of financial data, the specification, estimation and testing of asset pricing models, the analysis of high frequency financial data, and the modelling of volatility in financial returns.
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