Classes

• Number and length of classes: 3 hours face-to-face teaching per week consisting of 1 x 2 hour lecture and 1 x 1 hour tutorial
• The timetable for classes can be found on the University web site at:http://www.timetables.mq.edu.au/

Required and Recommended Texts and/or Materials

The prescribed text for the unit is:

Brooks, C. (2014) Introductory Econometrics for Finance, 3rd Edition, Cambridge, University Press.

It can be purchased from the Macquarie University Co-op Bookshop, and it is also available in the Macquarie Library. Additional, useful but not required, references include:

o Campbell, J., Lo, A., and Mackinlay, C. (1997) The Econometrics of Financial Markets, Princeton University Press, (this book may be too advanced for our class, but contains a lot of interesting material)

o Ruey S. Tsay. (2011) Analysis of Financial Time Series, 3rd Edition, John Wiley Press.

• Material such as lecture slides, examples, and tutorial questions will be available on the unit home page. The text and lecture notes, together with the lectures and additional references will provide students with a clear indication of the basic content of the unit.

• It is recommended that students attend all lectures and tutorials for several reasons including:

o Not all the material in the text is included in the unit, and not all the material in the unit is covered in the text. In some places the text deals with issues in greater depth than is necessary for the unit, and in other places it doesn’t go far enough. The lectures contain all the unit material taught at the level required for the assessment tasks, and are your guide to the unit content.

o The approaches to some problems that are recommended by the lecturer are different to those in the text.

o The lectures will include guidance about the style and content of the final exam and recommendation about study technique.

o It is difficult (and often impossible) for staff to provide meaningful assistance to students outside class times on topics for which they did not attend the relevant lectures and tutorials.

Technology Used and Required

Students are required to use a computer to carry out certain tasks of the course, such as tutorials and assignments. The software programs used in this course include EViews 8.0 and Microsoft Excel. Students do not have to use EViews 8.0 to perform their tutorial and assignment tasks if they are familiar with other programs, but discussions in the lectures and tutorials, as well as in the test and examination questions will be based on output that is produced using EViews.

Unit Web Page

• Course material is available on the learning management system (iLearn), which can be found at: http://ilearn.mq.edu.au.

• The following information will be available on iLearn:

• Unit Guide
• Announcements
• Lecture slides
• Selected tutorial solutions
• Information on Assessments
• Staff consultation hours and contact details
• Other relevant material

You are strongly encouraged to regularly visit the website and use it as a resource centre to assist with your learning. If you are unable to access the website because you are not aware of or have forgotten your username and password, please contact the IT helpdesk located on Level 1 of the Library on 9850 6500. The IT helpdesk will also be able to assist you with using iLearn. Please remember to log out when you have finished using iLearn. Failure to do so could result in unauthorised access to your account.

Learning and Teaching Activities

This unit is taught as a mix of tutorials and lectures. The lectures are designed to provide the tools which can then be applied in tutorials. Tutorials are based mainly on empirical applications which require the use of econometric software packages. How to use these packages is taught in tutorials which are held in the computer labs.

• Lectures – large group learning (2 hour each teaching week)
• Self-study activities – learning by doing (about 6 hours each teaching week and 9 hours each week during the 2-week mid-semester recess)
• Tutorials –small group learning (1 hour each teaching week)

The list below is a proposed study plan, but this may be modified as we progress through the semester to allow us to take more or less time with different sections of the course as required.

•   This unit uses research by Macquarie University researchers as follows:

1.  Joyeux, R., and Milunovich, G., (2010) “Testing Market Efficiency in the EU Carbon Futures Market”, Applied Financial Economics, 20(10), 803- 809.

2. Shi, S., & Arora, V. (2012). "An application of models of speculative behaviour to oil prices", Economics Letters, 115(3), 469-472.

3.  Shi, S. (2013), "Specification sensitivities in the Markov-switching unit root test for bubbles", Empirical Economics, 45(2), 697-713.

4. Phillips, P. C., Shi, S., & Yu, J. (2013), "Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour", Oxford Bulletin of Economics and Statistics, forthcoming.

5. Phillips, P. C., Shi, S., & Yu, J. (2015), "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500", International Economic Review, forthcoming  

6. Phillips, P. C., Shi, S., & Yu, J. (2015), "Testing for Multiple Bubbles: Limit Theory of Real Time Detectors", International Economic Review.

7. Shi, S and Song, Y. (2015), "Identifying Speculative Bubbles with an Infinite Hidden Markov Model", Journal of Financial Econometrics, forthcoming.

•   This unit uses research from external sources (as referenced in the textbook)

•   This unit gives you practice in applying research findings in your assignments

•   This unit gives you opportunities to conduct your own research