ETF3300 - Quantitative methods for financial markets
6 points, SCA Band 0 (NATIONAL PRIORITY), 0.125 EFTSL
Undergraduate Faculty of Business and Economics
Caulfield Second semester 2009 (Evening)
This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series, and teaches how to model and estimate risk return relationship of assets; estimate and test capital asset pricing models and anomalies; and use various statistical procedures to test the efficient market hypothesis. This unit also introduces the recent literature on modelling, estimating and forecasting financial markets' volatility. Parametric, nonparametric and simulation method will be used to estimate the value at risk. EVIEWS computer software will be used to carry out financial data analysis and applied research projects.
The learning goals associated with this unit are to:
- assess the time series and distributional properties of financial data
- evaluate the risk return relationship of financial assets
- estimate the long run relationship among financial time series
- analyse and model the volatility of financial returns
- conduct the risk management analysis.
Within semester assessment: 50%
Examination (2 hours): 50%
Two 1-hour lectures and one 1-hour tutorial per week