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Financial Econometrics - ECON3206
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Faculty: Faculty of Business
 
 
School:  School of Economics
 
 
Course Outline: http://www.economics.unsw.edu.au/
 
 
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.

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