37010 Statistics and Financial Econometrics

8cp; 3hpw (lecture/workshop), 3hpw independent learning
Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25879 Statistics and Financial Econometrics
Postgraduate

Description

Modern day financial modelling requires advanced statistical and econometric analysis which is based on the foundations of statistics and time series analysis. This subject aims to introduce the fundamentals of this knowledge, starting with basic of hypothesis testing, linear regression and moving through to ARMA and GARCH modelling. These techniques are introduced using real-world financial and other data. Students develop their computational skills by implementing these techniques using the R programming language.

Detailed subject description.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at access conditions and My Student Admin.