units

ETF5300

Faculty of Business and Economics

18 September 2017 22 December 2024
Monash University

Postgraduate - Unit

This unit entry is for students who completed this unit in 2015 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

print version

6 points, SCA Band 3, 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

LevelPostgraduate
FacultyFaculty of Business and Economics
Organisational UnitDepartment of Econometrics and Business Statistics
OfferedCaulfield Second semester 2015 (Evening)
Coordinator(s)Professor Param Silvapulle

Synopsis

Illustrates how statistical and econometric methods can be applied to financial data to solve problems arising in financial markets. Also covers modelling, estimating and testing the volatility of financial markets. Practical examples will be discussed in lectures to enhance the understanding of analysing financial data using the statistical and econometric tools taught in this unit. An integral component will be the completion of a number of minor research projects enabling students to develop the necessary skills.

Outcomes

The learning goals associated with this unit are to:

  1. identify the issues involved when modelling the dynamics of financial markets
  2. estimate volatility models using econometrics software
  3. critically evaluate the financial econometrics literature
  4. explain the financial market applications of the non linear models developed
  5. undertake a research project that applies the techniques and analysis to a financial market of interest.

Assessment

Within semester assessment: 60%
Examination: 40%

Workload requirements

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information

Chief examiner(s)

Professor Param Silvapulle

Prerequisites

Students must be enrolled in course code 4412 or 3822, or must have passed either ETF3200, ETF3300, ETC3460, ETF5930, ETF9300 or equivalent.