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Unit of study_

Financial Time Series and Forecasting - QBUS6830

Year - 2018

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.

Classes
1 x 2hr lecture and 1 x 1hr tutorial

Assessment
Mid-semester exam (20%), group assignment (40%), and final exam (40%)

Assumed knowledge
Basic knowledge of quantitative methods including statistics, basic probability theory, and introductory regression analysis.

Pre-requisites

ECMT5001 or QBUS5001

Details

Faculty: Business (Business School)

Semester 1

05 Mar 2018

Department/School: Business Analytics
Study Mode: Normal (lecture/lab/tutorial) evening
Census Date: 31 Mar 2018
Unit of study level: Postgraduate
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
Courses that offer this unit

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