Postgraduate Coursework Units of Study

ECMT6006 - Applied Financial Econometrics

Semester 1, 2014  |  Credit Points: 6

Coordinator: Yunjong Eo
Phone: +61 2 9351 3075
Email: yunjong.eo@sydney.edu.au

Description

This unit provides an introduction to some of the widely used econometric models designed for the analysis of financial data, and the procedures used to estimate them. Special emphasis is placed upon empirical work and applied analysis of real market data. The unit deals with topics such as: the statistical nature of financial data; the specification, estimation and testing of assets pricing models; the analysis of high frequency financial data; and the modelling of volatility in financial returns. Throughout the unit, students are encouraged (especially in assignments) to familiarise themselves with financial data and learn how to apply the models to these data.

Assessments

assignments (30%), mid-semester test (20%) and 1x2hr final exam (50%)

Classes

1x3-hr lecture/week

Prerequisites

ECMT5001

The information displayed above is indicative only as online information is subject to change without notice. The Faculty Handbook and the University of Sydney Calendar are the official legal source of information relating to study at the University of Sydney