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MAF723 - Business and Financial Econometrics

Unit details

Year2016 unit information
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

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

All Commonwealth Supported Place (CSP), fee paying undergraduate and pre-2016 commencing students

Unit fee information available soon


2016 commencing International and full fee paying postgraduate domestic students

Your units are priced based on the course you are enrolled in. Please refer to the current year's course entry to estimate the unit cost.


You can calculate the cost of each unit by using the following calculation:


Course fee x unit EFTSL value = unit price

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