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
Academic unit | Economics |
---|---|
Credit points | 6 |
Prerequisites
?
|
ECMT6002 or ECMT6702 |
Corequisites
?
|
None |
Prohibitions
?
|
None |
Assumed knowledge
?
|
None |
Available to study abroad and exchange students | Yes |
Teaching staff
Coordinator | Felipe Queiroz Pelaio, felipe.queirozpelaio@sydney.edu.au |
---|---|
Lecturer(s) | Felipe Queiroz Pelaio, felipe.queirozpelaio@sydney.edu.au |