Skip to content | Change text size

ETC4460 - Financial econometrics 2

6 points, SCA Band 2, 0.125 EFTSL

Undergraduate, Postgraduate Faculty of Business and Economics

Leader: Associate Professor Gael Martin and Dr Catherine Forbes


Clayton Second semester 2007 (Day)


This unit introduces students to a range of advanced, current techniques used in analysing financial data. 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.


Written assignments: 40%
Examination (3 hours): 60%

Contact hours

Two 1.5 hour lectures per week for 11 weeks.


ETC3460 or ETC4346 and at least one of ETC3400, ETC3410, ETC3450