This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series. It teaches how to model and estimate the single-factor and multiple-factor capital asset pricing models; and conduct diagnostic checks and reliable statistical inferences on various risk-return relationships and financial market hypotheses. It also introduces recent literature on modelling, estimating and forecasting financial markets' volatility; and parametric and nonparametric methods to estimate the value at risk and expected shortfall. EVIEWS software will be used to carry out financial data analysis and applied research projects. -- Course Website
Instructor: Dr Hsein Kew
Prerequisites: ETF2100 or ETX2111 or ETX2121 or equivalent.
