Notice
As part of Phase 3 of our return to campus plan, most units will now run tutorials, seminars and other small group activities on campus, and most will keep an online version available to those students unable to return or those who choose to continue their studies online.
To check the availability of face-to-face and online activities for your unit, please go to timetable viewer. To check detailed information on unit assessments visit your unit's iLearn space or consult your unit convenor.
Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Lance Fisher
Contact via 9850-8480
4 EaR 410
TBA
Teaching Assistent
Stephanie Brooks
Contact via TBA
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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. |
Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
On successful completion of this unit, you will be able to:
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 |
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.
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.
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.
1 If you need help with your assignment, please contact:
2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation
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.
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.
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. |
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Unit information based on version 2021.03 of the Handbook