Students

ECON3034 – Financial Econometrics

2021 – Session 2, Special circumstances

Session 2 Learning and Teaching Update

The decision has been made to conduct study online for the remainder of Session 2 for all units WITHOUT mandatory on-campus learning activities. Exams for Session 2 will also be online where possible to do so.

This is due to the extension of the lockdown orders and to provide certainty around arrangements for the remainder of Session 2. We hope to return to campus beyond Session 2 as soon as it is safe and appropriate to do so.

Some classes/teaching activities cannot be moved online and must be taught on campus. You should already know if you are in one of these classes/teaching activities and your unit convenor will provide you with more information via iLearn. If you want to confirm, see the list of units with mandatory on-campus classes/teaching activities.

Visit the MQ COVID-19 information page for more detail.

General Information

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Unit convenor and teaching staff Unit convenor and teaching staff Unit Convenor
Lance Fisher
Teaching Assistant
Stephanie Brooks
Credit points Credit points
10
Prerequisites Prerequisites
90cp at 1000 level or above including ECON241 or ECON2041 or STAT272 or STAT2372
Corequisites Corequisites
Co-badged status Co-badged status
Unit description Unit description

This unit is highly recommended for students majoring in economics and finance. Finance professionals use econometric techniques in portfolio management, risk management and securities analysis. This unit is intended to provide students with the tools necessary for financial applications. Statistical techniques are developed within the context of particular financial applications. Recent empirical evidence is also discussed. Although ECON2032 is not a prerequisite, it is highly recommended.

Important Academic Dates

Information about important academic dates including deadlines for withdrawing from units are available at https://students.mq.edu.au/important-dates

Learning Outcomes

On successful completion of this unit, you will be able to:

  • ULO1: Apply econometric methods to modelling, analysing and forecasting financial data.
  • ULO2: Demonstrate and explain different estimation methodologies.
  • ULO3: Critically evaluate empirical econometric work.
  • ULO4: Present results based on financial econometric analysis, to a non-technical audience, in a clear and understandable manner.

Assessment Tasks

Name Weighting Hurdle Due
Class test 30% No Week 7 during lecture time
Assignment 30% No Week 10 Thursday 4pm
Final examination 40% No University's Formal Examination Period

Class test

Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 15 hours
Due: Week 7 during lecture time
Weighting: 30%

 

The class test will be held online during the week 7 lecture time. The test will consist of multiple-choice questions, and will cover all material up to and including Week 5.

 


On successful completion you will be able to:
  • Apply econometric methods to modelling, analysing and forecasting financial data.
  • Demonstrate and explain different estimation methodologies.

Assignment

Assessment Type 1: Quantitative analysis task
Indicative Time on Task 2: 28 hours
Due: Week 10 Thursday 4pm
Weighting: 30%

 

A series of short answer questions exploring various aspects of Financial Econometrics.

 


On successful completion you will be able to:
  • Critically evaluate empirical econometric work.
  • Present results based on financial econometric analysis, to a non-technical audience, in a clear and understandable manner.

Final examination

Assessment Type 1: Examination
Indicative Time on Task 2: 30 hours
Due: University's Formal Examination Period
Weighting: 40%

 

A two-hour open book examination will be held during the University Examination Period, and will consist of multiple-choice and short-answer questions. Computer outputs and statistical tables will be provided.

 


On successful completion you will be able to:
  • Demonstrate and explain different estimation methodologies.
  • Critically evaluate empirical econometric work.

1 If you need help with your assignment, please contact:

  • the academic teaching staff in your unit for guidance in understanding or completing this type of assessment
  • the Learning Skills Unit for academic skills support.

2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation

Delivery and Resources

The prescribed textbook for the unit is:

Brooks, C. (2019) Introductory Econometrics for Finance, 4th Edition, Cambridge University Press. The 4th Edition of the textbook has been recently published. You can use the 3rd Edition of the textbook (2014) instead if you prefer.  

In addition to the textbook, the following references are useful but are not required.

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

(ii) Diebold, F. (2007) Elements of Forecasting, 4th Edition, South-Western College

(iii) Enders, W. (2014) Applied Econometric Time Series, 4th Edition, Wiley.

• 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:

• 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.

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

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

•  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 10 and Microsoft Excel. 

Unit Web Page

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

Unit Schedule

Unit Schedule

Week No.

Lecture Topic

Tutorials

1

Characteristics of Financial Data; Revision of Basic Mathematical and Statistical Concepts                   

Textbook: Chapter 1 and Chapter 2, all sections; 4th or 3rd Edition. Lecture Notes. 

 

2

Correlation and Basic Regression Methods

Textbook: Chapter 3, all sections, excluding the appendix. 4th or 3rd Edition. Lecture Notes.

Tutorial Week 2

3

Multiple Linear Regression Model

Textbook: 4th Edition Chapter 4, Sections 4.1 to 4.7 inclusive, Section 4.9. Lecture Notes; or

Textbook: 3rd Edition Chapter 4, Sections 4.1 to 4.8 inclusive, Section 4.10. Lecture Notes.

Tutorial Week 3

4

Regression Model Diagnostics

Textbook: 4th Edition Chapter 5, all sections. Chapter 10, Sections 10.1 to 10.3 inclusive. Lecture Notes; or

Textbook: 3rd Edition Chapter 5, all sections. Chapter 10, Sections 10.1 to 10.3 inclusive. Lecture Notes.

Tutorial Week 4

5

Time Series Models

Textbook: 4th Edition, Chapter 6, Sections 6.1 to 6.5. Lecture Notes; or

Textbook: 3rd Edition, Chapter 6, Sections 6.1 to 6.5. Lecture Notes.

Tutorial Week 5

6

Identification of Time Series Models

Textbook: 4th Edition, Chapter 6, Sections 6.6 to 6.8. Lecture Notes; or

Textbook: 3rd Edition, Chapter 6, Sections 6.6 to 6.9. Lecture Notes.

Tutorial Week 6

7

Class Test

Tutorial Week 7
 

Mid-semester Break

 

8

Forecasting with Time Series Models

Textbook: 4th Edition, Chapter 6, Sections 6.10. Lecture Notes; or

Textbook: 3rd Edition, Chapter 6, Sections 6.11 and 6.12. Lecture Notes.

Tutorial Week 8

9

Modeling Volatility: Specification and Estimation of ARCH and GARCH Models

Textbook: 4th Edition, Chapter 9, Sections 9.1 to 9.4 inclusive, Sections 9.6 to 9.9 inclusive. Lecture Notes; or

Textbook: 3rd Edition, Chapter 9, Sections 9.1 to 9.4 inclusive, Sections 9.6 to 9.9 inclusive. Lecture Notes.

Tutorial Week 9

10

Modeling Volatility: Extensions of ARCH and GARCH Models. 

Textbook: 4th Edition, Chapter 9, Sections 9.10 to 9.17 inclusive, Lecture Notes; or

Textbook: 3rd Edition, Chapter 9, Sections 9.10 to 9.18 inclusive, Lecture Notes.

Assignment due Thursday 4pm.

Tutorial Week 10

11

Forecasting Volatility.

Textbook: 4th Edition, Chapter 9, Sections 9.18. Lecture Notes; or

Textbook: 3rd Edition, Chapter 9, Sections 9.17, 9.19. Lecture Notes.

Tutorial Week 11

12

Long-Run Relationships in Finance

Textbook: 4th Edition, Chapter 8, Sections 8.1, 8.3 to 8.6.1 inclusive. Lecture Notes; or

Textbook: 3rd Edition, Chapter 8, Sections 8.1, 8.3 to 8.7.1 inclusive. Lecture Notes.

Tutorial Week 12

13

Bivariate Autoregressive Models

Textbook: 4th Edition, Chapter 7, Sections 7.10, 7.12. Lecture Notes; or

Textbook: 3rd Edition, Chapter 7, Sections 7.11, 7.13. Lecture Notes. 

Policies and Procedures

Macquarie University policies and procedures are accessible from Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central). Students should be aware of the following policies in particular with regard to Learning and Teaching:

Students seeking more policy resources can visit the Student Policy Gateway (https://students.mq.edu.au/support/study/student-policy-gateway). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.

If you would like to see all the policies relevant to Learning and Teaching visit Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central).

Student Code of Conduct

Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/admin/other-resources/student-conduct

Results

Results published on platform other than eStudent, (eg. iLearn, Coursera etc.) or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in eStudent. For more information visit ask.mq.edu.au or if you are a Global MBA student contact globalmba.support@mq.edu.au

Student Support

Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/

Learning Skills

Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to help you improve your marks and take control of your study.

The Library provides online and face to face support to help you find and use relevant information resources. 

Student Enquiry Service

For all student enquiries, visit Student Connect at ask.mq.edu.au

If you are a Global MBA student contact globalmba.support@mq.edu.au

Equity Support

Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.

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