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25606 Financial Time Series

UTS: Business: Finance and Economics
Credit points: 6 cp

Subject level: Undergraduate

Result Type: Grade and marks

Requisite(s): ((25906 Portfolio Theory and Investment Analysis (Advanced) OR 25503 Investment Analysis) AND 25557 Corporate Finance: Theory and Practice)
These requisites may not apply to students in certain courses.
There are also course requisites for this subject. See access conditions.

Handbook description

A number of theoretical models have been developed in the area of corporate finance. Students have been exposed to the major models in preceding subjects. This subject investigates the techniques that are required to empirically test these models and conducts a number of empirical tests using Australian financial markets data.

Subject objectives/outcomes

On successful completion of this subject students should be able to:

Knowledge outcomes

  1. understand the theory and principles underlying a class of linear stochastic models, and appropriately apply time series techniques to financial problems
  2. understand the theory and principles underlying a class of volatility models and appropriately apply modelling techniques to financial problems.

Capability outcomes

  1. formulate a testable hypothesis from a financial theory model
  2. develop a range of statistical tools for empirical tests of these hypotheses
  3. clearly communicate empirical applications and interpret results via written reporting.

Value outcomes

  1. point to valuable experience in modelling financial time series, testing models and presenting succinctly the results of your analysis of a given problem.

Recommended text(s)

Brooks, C. (2008) Introductory Econometrics for Finance, 2nd edn, Cambridge University Press.

Indicative references

Software

We will use Econometric Views (EVIEWS) version 6.0, available in the computer labs in Buildings 2, 5 and 10. You can also access EVIEWS remotely on your own computer via the UTS Virtual Lab. For instructions on using Virtual Lab follow the link: www.itd.uts.edu.au/virtuallab/help/usinglab.html

The EVIEWS software is stored in the Business folder in the Virtual Lab. Personal copies of EVIEWS can be purchased at a substantial discount — please see UTSOnline for details.

Lecture overheads, exercises and lab notes

Lecture notes will be posted to UTSOnline each week for you to print. Lab materials and homework exercises will also be posted to UTSOnline. Note that the lecture notes are not a substitute for the recommended textbook.

Other references

Most introductory econometrics texts are useful references for time series analysis and the UTS Library collection has many. The following are good additional references for this course.

Enders, W. (1995) Applied Econometric Time Series, John Wiley and Sons

Diebold, Francis X. (2004) Elements of Forecasting, 3rd edition, Thomson and South Western

Campbell, J.Y., A.W. Lo and A.C. Mackinlay (1996) The Econometrics of Financial Markets, Princeton University Press

A handy manual on some key concepts in applied finance is: Kritzman, M. (2003), The Portable Financial Analyst: What Practitioners Need to Know, 2nd Edition, McGraw Hill

Other important resources

Faculty of Business (2006), Guide to Writing Assignments (available through UTSOnline or at www.business.uts.edu.au/resources/guide.html)

University of Technology, Coursework Assessment Policy and Procedure Manual, (available at http://www.gsu.uts.edu.au/policies/papers/courseworkassessmentoct05.pdf)