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MAF723 - Business and Financial Econometrics

Enrolment modes:Trimester 2: Burwood (Melbourne)
Credit point(s):1
EFTSL value: 0.125
Unit chair:

S Sharma

Prerequisite:

MAF759

Corequisite:Nil
Incompatible with:

MAE406, MAE723

Contact hours:

1 x 2 hour class, 1 x 1 hour lab per week

Note: You will need to access substantial learning resources and experiences in CloudDeakin (Deakin’s online learning environment). Compliance with the Standards in computing, connectivity and student capability are a condition on your enrolment.

Content

The unit starts with reviewing univariate regression analysis and then extends towards multivariate regression analysis. In the first part of the unit, after analysing simple regression model, inference in multiple regression models and problems of relaxing classical assumptions, i.e., heteroskedasticity and autocorrelation, will be studied. The second part of the unit will analyse nonlinear time series models to track volatility (ARCH, GARCH, ARCH-M, GARCH-M, EGARCH, TARCH, APARCH AND IGARCH models) and panel data analysis including extensions to panel unit root testing and panel cointegration testing.

Assessment

Written Assignment 3000 words 30%, Test (In Class) 20%, Examination 2 hours 50%

Unit Fee Information

Student Contribution Rate*Student Contribution Rate**Fee rate - Domestic Students Fee rate - International students
$1283$1283$2962$3697

* Rate for all CSP students, except for those who commenced Education and Nursing units pre 2010
** Rate for CSP students who commenced Education and Nursing units pre 2010
Please note: Unit fees listed do not apply to Deakin Prime students.

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