Year No. Offer Mode Description Cred. Pts 98 51451 S1 D FINANCE HONOURS A 1.00
51111/51112
The need to predict the future and understand the past drives the search for models that explain the behaviour of financial markets and the assets traded in these markets. Financial markets are influenced by information. An essential role for those involved in financial markets is to have some ability to interpret information and form expectations of future innovations in economic and financial time series. Financial decision making based on this information has been improved through developments in information technology, access to larger data sets and the application of improved modelling techniques.
The effective interpretation of theoretical and empirical studies in finance requires an understanding of basic financial econometric techniques. This unit will enable students to further develop the quantitative skills required for advanced capital market analysis and modelling. In particular, quantitative techniques will be used to explain the behaviour of financial markets and the assets traded in equity, debt, derivative and foreign exchange markets. Students will review Capital Market studies and be involved in the phases of problem formulation, research design, data collection, quantitative analysis and the interpretation of results.
On successful completion of this unit students will be able
to:
Description Weighting(%)
- Modelling Asset Returns 40.00 1 Univariate Linear Stochastic Process 2 Univariate Non Linear Stochastic Models 3 Multivariate Processes - non integrated financial time series 4 Multivariate Processes - integrated financial time series 5 Asset Pricing Models 6 Bubbles, Fads, Noises and Anomalies
- Volatility and Risk Premia 30.00 1 Volatility Measurement 2 Excess Volatility 3 Volatility Persistence 4 Risk Premia
- Efficient Market Hypothesis and Empirical Testing 30.00 1 Test of Return Predicatbility 2 Event Studies
Berk K N and Carey P, 1995, `Data Analysis with Microsoft Excel 5.0
for Windows', Course Technology Inc., Cambridge MA.
Chatfield C, 1989, `The Analysis of Time Series: An Introduction',
4th Edn, Chapman and Hall.
Cuthbertson K, Hall S and Taylor P, 1992, `Applied Econometric
Techniques', Philip Allan.
Dwyer G, and Hafer R, 1990, `The Stock Market: Bubbles, Volatility
and Chaos', Kluwer Academic Publishers.
Granger C, 1989, `Forecasting in Business and Economics', Academic
Press.
Granger C, and Terasvirta T, 1993, `Modelling Nonlinear Economic
Relationships', Oxford University Press.
Harvey A, 1993, `Time Series Models', 2nd edn, Harvester Wheatsheaf.
Harvey A, 1990, `The Econometric Analysis of Time Series', 2nd Edn,
Phillip Allan.
Pollard J, 1977, `A Handbook of Numerical and Statistical
Techniques', Cambridge University Press.
Rice J, 1995, `Mathematical Statistics and Data Analysis', 2nd Edn,
Duxbury Press.
Stewart J, 1991, `Econometrics', Philip Allan.
No *F/S Marks Due Description Wtg(%) LBL WWW 1 S 100.00 PASSIM PRESENTATION AND WRITTEN CRITIQUE 1 20.00 N 2 S 100.00 PASSIM PRESENTATION AND WRITTEN CRITIQUE 2 20.00 N 3 S 100.00 WK 10 CLOSED BOOK EXAM 20.00 N 4 S 130.00 PASSIM CLASS PARTICIPATION 20.00 N 5 S 100.00 END S1 OPEN BOOK EXAM 3 HOURS 20.00 N
1 TO GAIN A PASSING GRADE IN THE UNIT A STUDENT MUST: a) obtain a
passing mark in aggregate for the unit's assessment items, AND b)
obtain a passing mark in the formal exam, AND c) submit genuine
attempts for the following MANDATORY items of assessment: TERM
PROJECT.
2 Students must retain a copy of all pieces of assessment which
must be produced if/when required by the lecturer.
3 LATE ASSIGNMENTS
3.1 All assessments submitted after the due date (and not approved
for extension) in accordance with university policy will be
penalised 20% per working day.
3.2 If students submit assignments after the due date and wish to
claim extenuating circumstances then they shall provide validated
documentary evidence with the assignment, explaining the
circumstances.
3.3 The unit examiner shall consider the statement accompanying a
late assignment and decide on the outcome.
4 DISHONEST ACTIONS
4.1 Any student who is alleged to having performed a dishonest action
relating to any assessment in the unit will have a course of
action taken against him/her as outlined in the Academic
Regulations.
4.2 Pieces of assessment should be the work of individual students
unless otherwise indicated in the assessment details. In other
circumstances, joint pieces of assessment are not permitted
unless written approval has been obtained from the unit leader.
5 DEFERRED EXAMINATIONS
5.1 Deferred examinations will be granted at the Dean's discretion in
the case of medical or compassionate circumstances having regard
to item 1. If a deferred examination has been granted students
shall normally sit the deferred examination in the semester in
which the unit is offered, BUT NO LATER THAN THE NEXT SEMESTER 3
EXAMINATION PERIOD. If, for whatever reason, this deferred
examination is not taken then the student will be graded "F".
5.2 Medical evidence on the appropriate University of Southern
Queensland medical certificate or doctor's certificate must be
received by the Faculty Administrator no later than twenty-one
(21) days after examination date. A medical certificate must be
dated with the same date as the period of illness for which the
absence from examination is being sought and clearly indicate the
student's name and, if possible, student number. (Retrospective
medical certificates will not be accepted for either assignment
work or examinations.)
5.3 A student's medical condition must be stated clearly (IN
ENGLISH). (Certificates stating a student has a `Medical
Condition' may not be sufficient grounds for deferment of
examination). Medical evidence must cover the student for the
day(s) of the missed examination(s).
5.4 Requests must be in writing to the Faculty Administrator clearly
stating the student name and number, unit number of the
examination missed due to illness and current address. Deferral
of an examination CANNOT be granted on an existing deferral in
that unit.
5.5 Requests on grounds other than medical MUST BE supported by
documentation.
5.6 Students who have a medical condition or have genuine
compassionate or work related problems on the day of the
examination are advised to obtain documentary evidence and NOT
attempt the examination. If a student makes an attempt at the
examination, the assessment item will be marked and a grade
awarded. In these cases, a student cannot, after receiving a
`Fail' grade, request a deferred examination or special
consideration.
6 Students should also refer to the Faculty of Commerce `Guide to
Policies and Procedures' section of the University Handbook for
further information on the above matters.