Financial Time Series and Forecasting (QBUS6830)

UNIT OF STUDY

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 firstly provides an introduction to the time series models used for the analysis of data arising in financial markets. Second, it 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 will be placed on applications involving the analysis of many real market datasets. Students will be encouraged to undertake hands-on analysis using an appropriate computing package.

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Further unit of study information

Classes

1 x 2hr lecture and 1 x 1hr tutorial

Assessment

Individual assignment (15%), mid-semester exam (15%), group assignment (40%), and final exam (30%)

Faculty/department permission required?

No

Unit of study rules

Prerequisites and assumed knowledge

ECMT5001 or QBUS5001

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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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