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Financial Econometrics - ECON5206
 Students on quad lawn

   
   
   
 
Campus: Kensington Campus
 
 
Career: Postgraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 3
 
 
Enrolment Requirements:
 
 
Prerequisite or Corequisite: ECON5203
 
 
CSS Contribution Charge:Band 5 (more info)
 
   
 
Further Information: See Class Timetable
 
  

Description

This course is concerned with the application of quantitative methods to the study of financial data. It begins by establishing the key empirical characteristics of financial data. These relate to the shape of the empirical distribution for asset returns. We then turn to an examination of the methods that are used to model these regularities. We begin with the linear regression model and discuss its application to tests of the capital asset pricing model (CAPM), the arbitrage pricing model (APT), and the forward market efficiency. We also discuss the 'spurious regression problem' which arises in financial applications. This leads to a discussion of non-stationary data and how to model long-run relationships among financial time series. We then discuss techniques of modeling time series more generally, particularly in an error correction framework. The main emphasis of the course is on applications. Students will be asked to work through a number of questions with a broad range of financial data sets.

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© The University of New South Wales (CRICOS Provider No.: 00098G), 2004-2011. The information contained in this Handbook is indicative only. While every effort is made to keep this information up-to-date, the University reserves the right to discontinue or vary arrangements, programs and courses at any time without notice and at its discretion. While the University will try to avoid or minimise any inconvenience, changes may also be made to programs, courses and staff after enrolment. The University may also set limits on the number of students in a course.