Financial Econometrics is defined as "the application of statistical methods to problems in finance." However, often financial econometrics has grown in recent decades in the field of economic growth in consumption and investment analysis applications is associated with problems in the economy.
Financial markets and other asset returns, volatility and long-range and high-frequency financial variables, to produce large amounts of data. The ability to analyze the market behavior and to assess the properties of time series requires knowledge of the methods. Since the 1980s, time series analysis, auto-regression, learning technologies have produced important financial markets, financial markets, increasing our knowledge about the volatility of the variables. Courses to broaden their knowledge and methods and techniques that you can discuss these issues in funding to equip.
This course deals with financial data, econometric models, and asset prices, evidence of the standard model. The key is to start with an empirical analysis
Characteristics of financial data. This general linear regression model in terms of property evaluation standard models are designed checks. Thereupon
Discussion of methods of time series analysis, data modeling fixed. At this point of course to learn the status of the asset volatility models
Clear short holding period (weekly or daily) to the data. Volatility of our focus group / arch will be in GARCH models. This approach is applied to the risk premium and financial assets (VaR) calculation of price risk varies over time, many financial institutions use to assess their portfolio risk model.
Nonstationary time series methods to model data of course end up with a cure. This model both long term and short-term relationship between financial time series allows for conversation. During the course, EViews econometricsoftware financial techniques are performed with actual data. EViews menus and easy to use and the Australian School of Business computer labs.
Econometric software
You Econometrics, 6 EViews in the college curriculum, designed for Windows users receive the software package.
Reader
You will receive a DVD volume key scientific articles that financial data in the course of the study include a selection of the applied techniques.