units

ETC3460

Faculty of Business and Economics

18 September 2017 22 December 2024

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This unit entry is for students who completed this unit in 2016 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.

Monash University

6 points, SCA Band 3, 0.125 EFTSL

Undergraduate - Unit

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

Faculty

Business and Economics

Organisational Unit

Department of Econometrics and Business Statistics

Coordinator(s)

Professor Heather Anderson

Offered

Clayton

  • First semester 2016 (Day)

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.

Outcomes

The learning goals associated with this unit are to:

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

Assessment

Within semester assessment: 40%
Examination: 60%

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 Heather Anderson

Prerequisites

Students must have passed one of the following units: ECC2410, ETC2410, ETC3440, ETC4344, ETX9344 or be granted permission, or must be enrolled in Course Code 3822 or 4412.

Prohibitions

ETF3300