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Unit of study_
ECMT6006: Applied Financial Econometrics
2024 unit information
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 financial econometric models for the asset return distribution; and the analysis of intra-day high frequency financial data. 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.
Unit details and rules
Managing faculty or University school:
Arts and Social Sciences
| Study level | Postgraduate |
|---|---|
| Academic unit | Economics |
| Credit points | 6 |
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Prerequisites:
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ECMT6002 or ECMT6702 |
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Corequisites:
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None |
| Prohibitions:
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None |
| Assumed knowledge:
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None |
At the completion of this unit, you should be able to:
- LO1. become familiar with the stylised facts of financial data and with the econometric methods for analysing such data
- LO2. understand the key features of the classic and latest econometrics models used in financial economics
- LO3. implement the econometric models in statistical packages, apply them to the data, and interpret the output from these models.
Unit availability
This section lists the session, attendance modes and locations the unit is available in. There is a unit outline for each of the unit availabilities, which gives you information about the unit including assessment details and a schedule of weekly activities.
The outline is published 2 weeks before the first day of teaching. You can look at previous outlines for a guide to the details of a unit.
| Session | MoA ? | Location | Outline ? |
|---|---|---|---|
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Semester 1 2024
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Normal day | Camperdown/Darlington, Sydney | |
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Semester 2 2024
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Normal day | Camperdown/Darlington, Sydney |
Outline unavailable
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Modes of attendance (MoA)
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