MAF723 - Business and Financial Econometrics
|Year||2016 unit information|
|Enrolment modes:||Trimester 2: Burwood (Melbourne)|
1 x 2 hour class, 1 x 1 hour lab per week
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.
Written Assignment 3000 words 30%
Test (in class) 20%
Examination 2 hours 50%