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 details and rules
Academic unit | Economics |
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Credit points | 6 |
Prerequisites
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ECMT2110 or ECMT2010 or ECMT1010 or MATH1005 or MATH1905 or DATA1001 or DATA1901 or ENVX1002 |
Corequisites
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None |
Prohibitions
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ECMT2030 |
Assumed knowledge
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None |
Available to study abroad and exchange students | Yes |
Teaching staff
Coordinator | Geoff Shuetrim, geoffrey.shuetrim@sydney.edu.au |
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Lecturer(s) | Geoff Shuetrim, geoffrey.shuetrim@sydney.edu.au |
Tutor(s) | Fiona Wen, chenxu.wen@sydney.edu.au |
Katerina Danko, katerina.danko@sydney.edu.au | |
Fei Shang, fei.shang@sydney.edu.au |