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ECMT3150 - The Econometrics of Financial Markets
Faculty of Arts and Social Sciences - 6 credit points
HECS Band five
Domestic Fee: $3,662
International Fee: $4,287
EFTSL: 0.125000000
Help? - Unit of Study Costs
Department: Economics
Offered session(s): 1
Prerequisites: ((ECMT1010 or BUSS1020 or MATH1905 or MATH1005 or MATH1015) and (ECMT2110 or ECMT2010) and (ECMT2130 or ECMT2030)) or (ECMT2130 and ECMT2150 and ECMT2160)
Prohibitions: ECMT3050
Classes: 1x2-hr lecture/week, 1x1-hr lab/week

Assessment: assignment (20%), group assignment (30%), mid-semester test (15%) and 2.5hr final exam (35%)

This unit studies and develops the econometric models and methods employed for the analysis of data arising in financial markets. It extends and complements the material covered in ECMT2130. The unit will cover econometric models that have proven useful for the analysis of both synchronous and non-synchronous financial time series data over the last two decades. Modern Statistical methodology will be introduced for the estimation of such models. The econometric models and associated methods of estimation will be applied to the analysis of a number of financial datasets. Students will be encouraged to undertake hands-on analysis using an appropriate computing package. Topics covered include: Discrete time financial time series models for asset returns; modelling and forecasting conditional volatility; Value at Risk and modern market risk measurement and management; modelling of high frequency and/or non-synchronous financial data and the econometrics of market microstructure issues. The focus of the unit will be in the econometric models and methods that have been developed recently in the area of financial econometrics and their application to modelling and forecasting market risk measures.
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