This unit covers statistics econometrics tools to: analyse and model the key characteristics of empirical distributions of asset returns; model and estimate the simple capital asset pricing model and its extensions; and test for various financial market hypotheses. It includes modelling, estimating and analysing time series properties of stationery and non-stationary financial data: and modelling and estimating simple and multivariate long-run relationships among financial variables; and conducting Granger causality testing. It also includes modelling and estimation of ARCH/GARCH volatilities and time-varying risk premium on financial assets; and estimation of value-at-risks and expected... -- Course Website
Instructor: Dr Hsein Kew
Prerequisites: Students must be enrolled in course codes 3814, 3815, 3816, 3818, 3822, 3850 or 4412 or must have passed AFF9641 or AFF9250
