ETC4460

Financial econometrics 2 ( 6 points, SCA Band 2, 0.125 EFTSL)

Leader: Dr Gael Martin and Dr Catherine Forbes

Offered:
Clayton Second semester 2006 (Day)

Synopsis: This unit will introduce students to a range of econometric techniques used in analysing models and data that arise in financial markets. Topics covered include the analysis of the time series and distributional features of financial data; the use of stochastic volatility and realized volatility models to capture time-varying volatility, including long memory in volatility; the use of econometric methods to estimate Value at Risk; the modelling of transactions data using trade duration models and transaction-based volatility models; continuous time processes and the application of econometric techniques to option pricing; and the use of generalized method of moments in financial models.

Assessment: Written (4 assignments): 40% = Examination (3 hours): 60%

Contact Hours: 2 1.5 hour lectures per week for 11 weeks.

Prerequisites: ETC3460 or ETC4346