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EC5213 - Financial Econometrics

Credit points: 3
Year: 2021
Student Contribution Band: Band 3
Administered by: College of Business, Law & Governance

This subject explores advanced time-series and panel-data analysis, which has wide applicability in analysing financial data, e.g. stock exchange returns, exchange rates, interest rates and bond rates. The subject covers current econometric models used in this field, including univariate / multivariate models, volatility modelling and forecasting, co-integration analysis, extreme theory and value-at-risk (market risk measure) modelling.

Learning Outcomes

  • appraise the empirical characteristics of financial data and show advanced and integrated knowledge of the properties of econometric techniques used in financial data analysis;
  • critically evaluate the results of time-series and panel-data analysis to draw integrated and advanced-level policy conclusions;
  • analyse time-series and panel-data to model both long-run relationships and short-run interactions among financial time series in order to comprehensively test research hypotheses.

Subject Assessment

  • Written > Examination (centrally administered) - (40%) - Individual
  • Written > Test/Quiz 1 - (30%) - Individual
  • Written > Research report - (30%) - Individual.
Prerequisites: BU4054
Inadmissible
Subject
Combinations:
EC3414

Availabilities

Townsville, Internal, Trimester 1
Census Date 11-Mar-2021
Workload expectations:

The student workload for this 3 credit point subject is approximately 130 hours.

  • 26 hours lectures (didactic or interactive)
  • 12 hours tutorials
  • 12 hours workshops - Workshops
  • assessment and self-directed study

External, Trimester 1
Census Date 11-Mar-2021
Workload expectations:

The student workload for this 3 credit point subject is approximately 130 hours.

  • 26 hours lectures (didactic or interactive)
  • 12 hours tutorials
  • 12 hours workshops - Workshops
  • assessment and self-directed study

Note: Minor variations might occur due to the continuous Subject quality improvement process, and in case of minor variation(s) in assessment details, the Subject Outline represents the latest official information.