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Financial Econometrics

ECMT2130

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.

Unit of study details

Unit of study level: Senior

Credit points: 6

Commencing semesters: 2

Further unit of study information

Unit of study handbook: ECMT2130

Costs and scholarships information: Costs and Scholarships

Final dates to withdraw from units of study: Census Dates

Available for study abroad and exchange: Yes

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