The specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions; the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects; volatility models such as ARCH models of financial time series, with applications to stock prices, derivatives, and exchange rates including the forecast performance of these models. -- Course Website
Instructor: Professor Keith McLaren and Associate Professor Paul Lajbcygier
Prerequisites: Students must have passed one of the following units: AFC1100, AFC2000, AFC2100, AFC2140 and also one from the following: ECC2410, ETC2410, ETC3440, ETC4344, ETX9344 or be granted permission, before undertaking this unit.
