units

ETC3460

Faculty of Business and Economics

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Monash University

Monash University Handbook 2010 Undergraduate - Unit

6 points, SCA Band 3, 0.125 EFTSL

LevelUndergraduate
FacultyFaculty of Business and Economics
OfferedClayton First semester 2010 (Day)
Coordinator(s)Professor Keith McLaren and Dr Catherine Forbes

Synopsis

The specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions; the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects; volatility models such as ARCH models of financial time series, with applications to stock prices, derivatives, and exchange rates including the forecast performance of these models.

Objectives

The learning goals associated with this unit are to:

  • describe the time series and distributional features of financial data
  • explain appropriate specification, estimation and testing of asset pricing models
  • evaluate the need for volatility models for financial returns
  • describe the specification and estimation of conditional volatility models.

Assessment

Within semester assessment: 40%
Examination (2 hours): 60%

Chief examiner(s)

Keith McLaren

Contact hours

Two 1-hour lectures and one 2-hour tutorial per week

Prerequisites

Students must have passed one of the following units: AFC1100, AFC2000, AFC2100, AFC2140 and also one from the following: ECC2410, ETC2410, ETC3440, ETC4344, ETX9344 or be granted permission, before undertaking this unit.

Prohibitions

ETC4346, ETF3300, ETF9300