ETC4460 - Financial econometrics 2 - 2017

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.

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 generalized method of moments in financial models.

Within semester assessment: 40% + Examination: 60%

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

Dr Bonsoo Koo

Students must have passed ETC3460 and at least one of the following units: ETC3400, ETC3410, ETC3450, MTH3251 or MTH3260 or obtain permission before undertaking this unit.