Financial Econometrics - ECON5206
Faculty: UNSW Business School
School: School of Economics
Course Outline: ECON5206 Course Outline
Campus: Sydney
Career: Postgraduate
Units of Credit: 6
EFTSL: 0.12500 (more info)
Indicative Contact Hours per Week: 3
Enrolment Requirements:
Prerequisite: ECON5248
CSS Contribution Charge: 2 (more info)
Tuition Fee: See Tuition Fee Schedule
Further Information: See Class Timetable
View course information for previous years.
Description
This course is concerned with the special statistical characteristics that arise when modelling time series data, such as commodity prices, interest rates or exchange rates. Topics include key characteristics of financial data, concepts of volatility and risk, modelling time varying volatility (ARCH models), and modelling relationships among financial series. The knowledge and methods acquired in this course are particularly useful and sought after in the public and private finance sector.
Study Levels
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