ECMT2130 - Financial Econometrics

Semester 2, 2012  |  Credit Points: 6

Coordinator: Bernard John Conlon
Phone: +61 2 9351 9661
Email: bernard.conlon@sydney.edu.au

Description

Over the last decade econometric modelling of financial data has become an important part of the operations of merchant banks and major trading houses and a vibrant area of employment for econometricians. This unit provides an introduction to some of the widely used econometric models for financial data and the procedures used to estimate them. Special emphasis is placed upon empirical work and applied analysis of real market data. Topics covered may include the statistical characteristics of financial data, the specification, estimation and testing of asset pricing models, the analysis of high frequency financial data, and the modelling of volatility in financial returns.

Assessments

2x assignments (2x20%) and 1x2hr final exam (60%)

Classes

1x2-hr lecture/week, 1x1-hr tutorial/week

Prerequisites

ECMT2110 or ECMT2010

Prohibitions

ECMT2030

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