Financial Econometrics - 2016

To enrol in this unit, you must be accepted into a course from the provider. Read before you start

Unit summary

MFIN1195

  • Level of Study: Postgraduate
  • Study load: 0.125 EFTSL
  • Delivery method: Fully Online
  • Prerequisites: Yes
  • Duration: 13 weeks
  • Government loans available: FEE-HELP
  • Availability for 2016: Sess 3
  • Assessment: Assignment (20%) , Exercises (20%) - Learn more

Unit provided by

or
2016 Fees
AUD$
Domestic 3,840.00
International 4,090.00

This unit introduces you to the Econometric and Time Series methods used to conduct empirical studies in Finance. The first half of the unit will show you how to use traditional Econometric techniques to conduct studies such as those that seek to estimate market risk or betas. The second half of the unit provides an introduction to recent developments in Econometrics and explains how these new methods are used in Finance. You will also learn how to use the Windows based EViews econometric package to estimate models and to evaluate these estimates.

At the completion of this unit students will be able to:

  1. conduct studies of Market Models and other models in finance using Simple Linear Regression Analysis
  2. use Multiple Linear Regression Analysis to perform Event Studies and tests of the CAPM
  3. select from competing models using tests based on the ANOVA technique, different measures of forecasting accuracy and the statistical properties of the residuals Models
  4. perform tests to determine whether the assumptions concerning the errors terms are justified
  5. use Box-Jenkins methods to obtain univariate Time Series models
  6. be familiar with some key applications of ARCH models in Finance
  7. test whether time series data is Stationary or Nonstationary
  8. test whether time series are Cointegrated and estimate Error Correction.
  • Assignment (20%)
  • Exercises (20%)
  • Invigilated Exam (60%)
For more information on invigilated exams see Exams and results

Recommended prerequisites

You are recommended to have completed the following unit(s) or have equivalent knowledge before starting this unit:

  • Broadband access

In order to enrol in this unit, you must be accepted into one of the following courses:

Please visit the course details page and read the Requirements tab for more information about eligibility.

This unit addresses the following topics.

NumberTopic
1An introduction to econometric models
2Simple linear regression
3Simple linear regression - evaluation and forecasting
4Multiple regression
5Non-spherical disturbances and finish multiple regression
6Dynamic econometric models
7Model selection procedures
8Working with non-stationary data
9Box-Jenkins models
10Co-integration and error correction models
11Modelling volatility

This unit is delivered using the following methods and materials:

Instructional Methods

  • Blogs
  • Discussion Forum/Discussion Board
  • Online Quizzes/Tests
  • Online assignment submission
  • Podcasting/Lecture capture
  • Standard Media
  • Web links
  • Wikis

This unit is a core requirement in the following courses:

This unit may be eligible for credit towards other courses:

  1. Many undergraduate courses on offer through OUA include 'open elective' where any OUA unit can be credited to the course. You need to check the Award Requirements on the course page for the number of allowed open electives and any level limitations.
  2. In other cases, the content of this unit might be relevant to a course on offer through OUA or elsewhere. In order to receive credit for this unit in the course you will need to supply the provider institution with a copy of the Unit Profile in the approved format, which you can download here. Note that the Unit Profile is set at the start of the year, and if textbooks change this may not match the Co-Op textbook list.

Textbooks are subject to change within the academic year. Students are advised to purchase their books no earlier than one to two months before the start of a unit.

Click on the titles of the listed books below to find out more:

Required textbooks

  • Principles of Econometrics 4E + Eviews Handbook 4E

    By:Hill

    ISBN: 9780730301837

    Format:Print

    Supplier:Go to The Co-op Bookshop


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