TIME VALUE FOR MONEY
1.0 Time Value of Money
The Recognition of time value of money and risk is extremely vital in financial decision making.
If the timing and the risk of cash flow is not considered then the firm may make decisions which
may not allow it

QBUS6830 (2016); Financial Time Series and Forecasting
1
Module 1, section 2 : Regression, the
CAPM and Factor Models
Chapter 3 in Brooks and Chapter 2 in Tsay
1 Regression
Regression concerns the relationship between two
or more variables. It is a funda

QBUS6830 (2016); Financial Time Series and Forecasting
1
Module 1, section 3 : Factor and
Multivariate Modelling
Chapter
Chapter
Chapter
Chapter
9
3
3
6
in
in
in
in
Tsay
McNeil, Frey, & Embrechts
Brooks (Appendix 3.2)
Campbell, Lo and MacKinlay
1 Unknown

QBUS6830
Financial time series and forecasting
Mini Unit of Study Outline
Discipline of
Business Analytics
Business School
2016 S1
Lectures & Tutorials
Lectures are used to discuss and present key concepts,
principles, and current models for financial ti

QBUS6830 (2016); Financial Time Series and Forecasting
1
What is quantitative finance?
Some say it is the quest to understand the laws
of financial markets, in a quantitative sense.
Once understood these laws can be used to aid
in better financial deci

QBUS6830 (2016); Financial Time Series and Forecasting
1
Module 1, section 2 : Regression, the
CAPM and Factor Models
Chapter 3 in Brooks
Chapter 2 in Tsay
Chapter 6 in Campbell, Lo and Mackinlay
1 Regression
Regression concerns the relationship between

QBUS6830 (2016); Module 4;
1
Module 4: Forecasting and Risk
Management
References:
Tsay (2010): Chapters 3 (forecasting) and 7 (Value
at Risk)
McNeil, Frey and Embrechts (2005): Chapters 1,
2 and 6
Wong CM & So MKP (2003) On Conditional
Moments of GARC

BUSINESS SCHOOL
QBUS6830
Financial Time Series and Forecasting
Semester 1, 2016
Practice questions for mid-semester
Q1 Give up to 1 page (maximum) of explanation and/or qualification, plus pictures
and/or formulas (if required or useful), to support your

BUSINESS SCHOOL
QBUS6830
Financial Time Series and Forecasting
Mid-Semester Test
Semester 1, 2016
This test will contribute 20% towards your final grade. The test is marked out of 50 marks in
total and consists of 2 questions, marks allocated as shown. Yo

BUSINESS SCHOOL
QBUS6830
Financial Time Series and Forecasting
Semester 1, 2016
Practice questions for final exam
Q1
(a) If we can observe repeated finite values of a real data series, like a price series,
explain why and how it could possibly have an inf

QBUS6830 (2016); Financial Time Series and Forecasting
1
What is quantitative finance?
Some say it is the quest to understand the laws
of financial markets, in a quantitative sense.
Once understood these laws can be used to aid
in better financial deci

This file was created by CMPT_ME_BEME_RETS_DAILY using the 201112 CRSP database.
The Tbill return is the simple daily rate that, over the number of trading days
in the month, compounds to 1-month TBill rate from Ibbotson and Associates, Inc.
Mkt-RF SMB H

name=['anz';'bhp';'bkl';'qan';'wow']
'asic data summary
for i=1:5
s=[name(i,:),'_t=',name(i,:),'(1:567)']
eval(s);
end
for i=1:5
s=[name(i,:),'_test=',name(i,:),'(568:597)']
eval(s)
end
for i=1:5
s=[name(i,:),'_s=[mean(',name(i,:),'_t);std(',name(i,:

Business School
QBUS6830
Financial Time Series and Forecasting
Semester 1, 2016
Group assignment
40% of final grade
Some guidelines for your consideration
The assignment will be done in groups of 3-4, without exception.
The assignment task will involve yo

Business School
QBUS6830
Financial Time Series and Forecasting
Semester 1, 2016
Group Assignment
The Group Assignment will contribute 40% towards your final grade and is to be
completed in groups of 3-4 students. The due date is Friday 27th May, by 4pm vi

QBUS6830 (2015); Module 2;
1
Module 2: Introduction to Forecasting
and Time Series
References:
Tsay (2005): Chapter 2
Brooks (2008): Chapter 5
Section 1: Forecasting
QBUS6830 (2015); Module 2;
2
(1.1) Introduction to Forecasting in
Finance
What is fore

QBUS6830 (2015); Financial Time Series and Forecasting
1
What is quantitative nance?
Some say it is the quest to understand the laws
of nancial markets, in a quantitative sense.
Once understood these laws can be used to aid
in better nancial decision m

QBUS6830 (2015); Financial Time Series and Forecasting
1
Module 1, section 3 : Factor and
Multivariate Modelling
Chapter 9 in Tsay
1 Unknown factor regression models
Consider the multiple regression model:
yt = + 1f1,t + 2f2,t + t,
which is a 2 factor mo

QBUS6830 (2015); Financial Time Series and Forecasting
1
Module 1, section 2 : Regression, the
CAPM and Factor Models
Chapter 3 in Brooks and Chapter 2 in Tsay
1 Regression
Regression concerns the relationship between two
or more variables. It is a funda