BEX3460 Financial econometrics
Faculty of Business and Economics
BEX3460 Financial econometrics is a level 3, 0-credit-point, undergraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 1 at Clayton. It has no prerequisites.
- Credit points
- 0
- Offered in 2020
- Semester 1
- Clayton
- Workload
- 144 hours
- per semester
This is the 2020 handbook entry. See the 2023 entry.
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Requisites
Before BEX3460
Prohibitions
You can't enrol if you have passed any of these.
After BEX3460
No unit lists BEX3460 as a prerequisite in the 2020 handbook.
Enrolment rules
Students must be enrolled in course 0029 or 3194.
Students must be granted permission by the Chief Examiner to undertake this unit.
Equivalent units
The same content under another code. Only one of them counts.
Overview
The specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions; the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects; volatility models such as ARCH models of financial time series, with applications to stock prices, derivatives, and exchange rates including the forecast performance of these models.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
Learning outcomes
When you finish this unit, you should be able to:
- 1
describe the time series and distributional features of financial data
- 2
explain appropriate specification, estimation and testing of asset pricing models
- 3
evaluate the need for volatility models for financial returns
- 4
describe the specification and estimation of conditional volatility models.
Workload and teaching
Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.
Contacts
- Chief Examiners
- Dr Natalia Bailey
Common questions
What are the prerequisites for BEX3460?
BEX3460 has no prerequisites, but enrolment rules apply.
When is BEX3460 offered?
In 2020, BEX3460 runs in Semester 1 at Clayton.
How much work is BEX3460?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.