ETC3460 Financial econometrics
Faculty of Business and Economics
ETC3460 Financial econometrics is a level 3, 6-credit-point, undergraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 1 at Clayton. It needs ETF2100, ETS2410, ETW2410, ETC2410 or MTH2232 and unlocks 4 units.
- Credit points
- 6
- Offered in 2020
- Semester 1
- Clayton
- Workload
- 144 hours
- per semester
This is the 2020 handbook entry. See the 2027 entry.
Reviews
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Requisites
Before ETC3460
Prerequisites
Pass these before you enrol.
Prohibitions
You can't enrol if you have passed any of these.
After ETC3460
4 units list ETC3460 as a prerequisite or corequisite.
Equivalent units
The same content under another code. Only one of them counts.
Overview
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.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
| First semester (Fully flex) | Clayton | Flexible |
Learning outcomes
When you finish this unit, you should be able 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.
Workload and teaching
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.
Where it fits
ETC3460 is part of 5 areas of study in the 2020 handbook.
- ACTRLSTD02CoreActuarial studiesNo reviews yet
- ACTRLSTD06Additional actuarial studies unitsActuarial studiesNo reviews yet
- ECONOMTR01Additional econometrics unitsEconometricsNo reviews yet
- FINANCE05Additional finance unitsFinanceNo reviews yet
- FININMAT03Financial and insurance mathematics elective unitsFinancial and insurance mathematicsNo reviews yet
Contacts
- Chief Examiners
- Dr Natalia Bailey
Common questions
What are the prerequisites for ETC3460?
You need ETF2100, ETS2410, ETW2410, ETC2410 or MTH2232 before you enrol.
What can I take after ETC3460?
ETC3460 is a prerequisite or corequisite for 4 units, including ETC4460, ETC5460, ETF5231 and ETF5300.
When is ETC3460 offered?
In 2020, ETC3460 runs in Semester 1 at Clayton.
How much work is ETC3460?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Which majors and minors include ETC3460?
ETC3460 is part of Actuarial studies; Econometrics; Finance; and Financial and insurance mathematics.