Financial Econometrics - ECON3206
Faculty: Australian School of Business
School: School of Economics
Course Outline: ECON3206 Course Outline
Campus: Sydney
Career: Undergraduate
Units of Credit: 6
EFTSL: 0.12500 (more info)
Indicative Contact Hours per Week: 3
Enrolment Requirements:
Prerequisite: ECON2209
CSS Contribution Charge: 3 (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 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.
Study Levels
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