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Unit of Study

Financial Time Series and Forecasting
UoS Code QBUS6830
Credit points 6
Offered Semester 1
Prerequisites ECMT5001 or QBUS5001
Assumed Knowledge Basic knowledge of quantitative methods including statistics, basic probability theory, and introductory regression analysis.
Additional Information
Lectures 1 x 2hr lecture and 1 x 1hr tutorial
Assessment Mid-semester exam (20%), group assignment (40%), and final exam (40%)
Description Time series and statistical modelling is a fundamental component of the theory and practice of modern financial asset pricing as well as financial risk measurement and management. Further, forecasting is a required component of financial and investment decision making. This unit provides an introduction to the time series models used for the analysis of data arising in financial markets. It then considers methods for forecasting, testing and sensitivity analyses, in the context of these models. Topics include: the properties of financial return data; the Capital Asset Pricing Model (CAPM); financial return factor models, with known and unknown factors, in panel data settings; modelling and forecasting conditional volatility, via ARCH and GARCH; forecasting market risk measures such as Value at Risk. Emphasis is placed on applications involving the analysis of many real market datasets. Students are encouraged to undertake hands-on analysis using an appropriate computing package.