units

ETC5460

Faculty of Business and Economics

18 September 2017 22 November 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

Postgraduate - 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)

Dr Bonsoo Koo

Offered

Clayton

  • Second semester 2016 (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.

Outcomes

The learning goals associated with this unit are to:

  1. critically evaluate alternative methods of modelling asset return volatility
  2. explain the role of volatility modelling in the measurement of risk and in the pricing of financial derivatives
  3. describe the role of continuous time stochastic processes in the pricing of financial derivatives
  4. evaluate econometric models for high frequency data
  5. evaluate the use of generalised method of moments in financial 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)

Dr Bonsoo Koo

Prerequisites

Students must have passed one of the following: ETC3460 or ETC5346, and at least one of: ETC3400, ETC3410, ETC3450, ETC5340, ETC5341 or ETC5345 or obtain permission.

Prohibitions

ETC4460