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» ECON233
ECON233: Financial Econometrics |
This unit is highly recommended for students majoring in economics and finance.
Finance professionals use econometric techniques in portfolio management, risk management and securities analysis. This unit is intended to provide students with the tools necessary for financial applications.
Topics covered include: tests of the Random Walk Hypothesis, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH. Statistical techniques are developed within the context of a particular financial application. Recent empirical evidence is also discussed.
| Credit Points: | 3 |
| Contact Hours: | 3 |
| When Offered: |
D2 - Day; Offered in the second half-year
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| Staff Contact: |
Mr Chris Heaton |
| Prerequisites: |
(ECON232 or 3cp from STAT270-STAT273) and ECON141
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| Corequisites: |
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| NCCWs: |
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| Unit Designations: |
Science
| | Assessed As: |
Graded
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| Offered By: |
Department of Economics |
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