ETW3481 Econometric methods for finance
Faculty of Business and Economics
ETW3481 Econometric methods for finance is a level 3, 6-credit-point, undergraduate unit from the Faculty of Business and Economics, offered in 2022 in Semester 2 at Malaysia. It needs ETW2510, ETC2410, ETC3440 or ETF2100.
- Credit points
- 6
- Offered in 2022
- Semester 2
- Malaysia
- Assessment
- Exam 50%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2022 handbook entry. See the 2027 entry.
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Requisites
Before ETW3481
Prerequisites
Pass these before you enrol.
After ETW3481
No unit lists ETW3481 as a prerequisite in the 2022 handbook.
Overview
This unit introduces you to a wide range of contemporary financial econometric techniques which are commonly employed in the financial data analysis. Topics covered include the random walk model, volatility and risk modelling, several symmetric and asymmetric univariate as well as multivariate volatility models. Also, this unit will expose you to applications of econometric analysis in the portfolio selection and volatility spillovers between markets and assets.
Offerings in 2022
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Malaysia | On campus |
Assessment
- Within semester assessment50%
- Examination50%
Learning outcomes
When you finish this unit, you should be able to:
- 1
analyse the properties and distributional characteristics of financial returns
- 2
develop appropriate models for the first and second moment of return processes
- 3
critically assess the challenges and shortcomings in the mean and variance models
- 4
generate forecasts for returns and volatility using univariate and multivariate 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.
Where it fits
ETW3481 is part of 1 area of study in the 2022 handbook.
Contacts
- Chief Examiners
- Dr Akram Hasanov
Common questions
What are the prerequisites for ETW3481?
You need ETW2510, ETC2410, ETC3440 or ETF2100 before you enrol.
When is ETW3481 offered?
In 2022, ETW3481 runs in Semester 2 at Malaysia.
How much work is ETW3481?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETW3481 have an exam?
Yes. The exam is worth 50% of the final mark, alongside 1 other task.
Which majors and minors include ETW3481?
ETW3481 is part of Econometrics and business statistics.