EC5213 - Financial Econometrics

[Offered in odd-numbered years]

Credit points:	03
Year:	2011
Student Contribution Band:	Band 3
Administered by:	School of Business

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.

Graduate Qualities

• The ability to think critically, to analyse and evaluate claims, evidence and arguments;
• The ability to adapt knowledge to new situations;
• The ability to define and to solve problems in at least one discipline area;
• The ability to communicate effectively with a range of audiences;
• The ability to lead, manage and contribute effectively to teams;
• The ability to speak and write logically, clearly and creatively;
• The ability to calculate, produce, interpret and communicate numerical information;
• The ability to select and use appropriate IT tools;
• The ability to access and employ online technologies effectively;
• The ability to use and interpret different media;
• A coherent and disciplined body of skills, knowledge, values and professional ethics in at least one discipline area;
• The ability to use a variety of media and methods to retrieve, analyse, evaluate, organise and present information;
• The ability to reflect on and evaluate learning processes and products;
• The ability to learn independently and in a self-directed manner;
• A commitment to lifelong learning and intellectual development.

Prerequisites:	EC2101 or EC3413 or EC2413
Inadmissible Subject Combinations:	EC3414

Availabilities
Townsville, Block, Study Period 6
Census Date 23-Jun-2011
Face to face teaching 09-Jun-2011 to 27-Jun-2011 (Face to face dates are (9am - 1pm) on 9-10 June (Thursday to Friday); 14-17 June (Tuesday to Friday) and 20 June to 23 June (Monday to Thursday); Exam 27 June 2011 (3-5pm)).)
Coord/Lect:	Dr Rabiul Beg.
Contact hours:	26 hours lectures 12 hours tutorials 12 hours workshops/Seminars - Workshops
Assessment:	end of semester exam (50%); quizzes or tests (30%); assignments (20%).

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.