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Unit of study_
ECMT3150: The Econometrics of Financial Markets
This unit studies and develops the econometric models and methods employed for the analysis of financial data arising from financial markets. It extends and complements the material covered in ECMT2130. Topics include: Discrete time financial time series models; modelling and forecasting conditional volatility; modelling of high frequency and/or non-synchronous financial data and the econometrics of market microstructure issues; the pricing of financial derivatives; Value-at-Risk and market risk management. Students will undertake empirical analysis on financial datasets using appropriate computing software.
| Code | ECMT3150 |
|---|---|
| Academic unit | Economics |
| Credit points | 6 |
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Prerequisites:
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ECMT2010 or ECMT2110 or ECMT2030 or ECMT2130 or ECMT2160 |
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Corequisites:
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None |
| Prohibitions:
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ECMT3050 |
At the completion of this unit, you should be able to:
- LO1. attain a deeper understanding of econometric methods and their application to, and adaption for, modelling and forecasting financial market data
- LO2. demonstrate proficiency in time series econometric techniques, including estimation, inference and forecasting
- LO3. develop proficiency in collecting and processing different types of financial time series data efficiently and with integrity
- LO4. develop proficiency in the use of appropriate computing software and packages for financial time series modelling and forecasting
- LO5. develop proficiency in presenting the modelling result effectively to both financial econometricians and general audience.
Unit outlines
Unit outlines will be available 1 week before the first day of teaching for the relevant session.
- Semester 1, 2023 [Normal day] - Camperdown/Darlington, Sydney
- Semester 1, 2023 [Normal day] - Remote
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