goto UNSW  home page  
Contacts Library myUNSW WebCT
 Financial Econometrics - ECON3206
PRINT THIS PAGE
 The Red Centre promenade
   
   
   
 
Campus: Kensington Campus
 
 
Career: Undergraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.125 (more info)
 
 
Contact Hours per Week: 3
 
 
Enrolment Requirements:
 
 
Prerequisite: ECON2206
 
 
Fee Band: 2 (more info)
 
 
Further Information: See Class Timetable
 
  

Description

This course is concerned with the special statistical characteristics that arise when modelling time series data, such as commodity prices, interest rate exchange rate data, that have been collected at high frequency (such as daily or hourly). Topics include: modelling time varying volatility (ARCH models), generalised method of moments estimators (GMM), and non-normality issues.

URL for this page:

© 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.