This course is concerned with the application of quantitative tools to model, estimate and forecast financial variables. Topics considered include: the analysis of the properties of financial data (such as non-normality and non-stationarity); the application of estimation methods (such as unit roots and cointegration) to test the rational valuation model of share prices; the application of the GARCH class of models to estimate volatility and to test the capital asset pricing model. The course will also include an introduction to more complex financial econometrics (such as artificial neural-networks, generalised method of moments and state-space modelling). -- Course Website
Prerequisites: ECON20003 Quantitative Methods 2 or equivalent. This subject is only available to those students who would satisfy the entry requirements for the Postgraduate Diploma in Finance or the Master of Finance. Subject Study Period Commencement: Credit Points
