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EC5213 - Financial Econometrics

[Offered in odd-numbered years]

Credit points: 3
Year: 2014
Student Contribution Band: Band 3
Administered by: School of Business (pre 2015)

This subject provides an introduction to econometric tools most used in empirical economics and finance to gain understanding of the sources and characteristics of data. Topics include: Predictability of Asset returns, Volatility modeling (ARCH / GARCH / EGARCH and long memory processes), Cointegration analysis (Engle-Granger and Johansen's methodologies and test fopr block exogeneity, Entreme-value theory, Modelling high-frequency data, Modelling and testing CAPM and APT Theories.

Learning Outcomes

  • to provide a sound knowledge of the theory and general application of time series econometrics software packages to carry out research and analysis.
Prerequisites: EC2101 or EC3413 or EC2413
Inadmissible
Subject
Combinations:
EC3414

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.