ETC4460 - Financial econometrics 2
6 points, SCA Band 3, 0.125 EFTSL
Undergraduate, Postgraduate Faculty of Business and Economics
Leader(s): Associate Professor Gael Martin and Dr Catherine Forbes
Offered
Clayton Second semester 2009 (Day)
Synopsis
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 realised 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 generalised method of moments in financial models.
Assessment
Within semester assessment: 40%
Examination (3 hours): 60%
Contact hours
Two 1.5 hour lectures per week for 11 weeks
Prerequisites
Students must have passed one of the following: ETC3460 or ETC4346 and at least one of: ECC3410, ETC3400, ETC3410, ETC3450, before undertaking this unit.