37010 Statistics and Financial Econometrics8cp; 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
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.