Financial Time Series M

Course aim

To equip students with a basic knowledge of modern time series models, their analysis, and applications in business, finance and economics.

Course content

• The components of a time series model
• Additive and multiplicative models
• Multiple regression analyses
• Spectral decomposition
• Box-Jenkins models
• Forecasting techniques
• Smoothing of time series
• GARCH and other volatility models
• Stochastic Differential Equations.

 

Textbook(s)

Tsay, RS 2005, Analysis of Financial Time Series 2, 2nd edition, John wiley & Sons

Prerequisite(s)

Common to all relevant programs
Subject Area & Catalogue Number	Course Name
MATH 5040	Statistical Foundations M

Corequisite(s)

Nil

Teaching method

Component	Duration
INTERNAL, MAWSON LAKES
Lecture	2 hours x 13 weeks
Computer Practical	2 hours x 13 weeks

Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.

Assessment

Assignment, Literature review, Project - including seminar presentation

Fees

EFTSL*: 0.125
Commonwealth Supported program (Band 2)
To determine the fee for this course as part of a Commonwealth Supported program, go to:
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Fee-paying program for domestic and international students
International students and students undertaking this course as part of a postgraduate fee paying program must refer to the relevant program home page to determine the cost for undertaking this course.

Non-award enrolment
Non-award tuition fees are set by the university. To determine the cost of this course, go to:
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Not all courses are available on all of the above bases, and students must check to ensure that they are permitted to enrol in a particular course.

* Equivalent Full Time Study Load. Please note: all EFTSL values are published and calculated at ten decimal places. Values are displayed to three decimal places for ease of interpretation.