Applied Financial Econometrics (ECMT6006)

UNIT OF STUDY

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.

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Further unit of study information

Classes

1x3-hr lecture/week

Assessment

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

Faculty/department permission required?

No

Unit of study rules

Prerequisites and assumed knowledge

ECMT5001

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Cross-institutional study

If you are from another Australian tertiary institution you may be permitted to underake cross-institutional study in one or more units of study at the University of Sydney.

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