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 2021 in Semester 1 at Clayton. It needs ETF2100, ETW2510, ETC2410, MTH2232 or ETC3440 and unlocks 4 units, leading on to 6 units in all.
- Credit points
- 6
- Offered in 2021
- Semester 1
- Clayton
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2021 handbook entry. See the 2027 entry.
Reviews
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Requisites
Before ETC3460
Prohibitions
You can't enrol if you have passed any of these.
After ETC3460
4 units list ETC3460 as a prerequisite or corequisite.
Enrolment rules
To be successful in this unit, background knowledge and application of maths is required at the equivalent of VCE Year 12 Higher level. You may have satisfied this by completing relevant prerequisite unit/s, or you have covered relevant topics in your final years of secondary study. You should self-assess your maths competency prior to enrolling in this unit.
Equivalent units
The same content under another code. Only one of them counts.
Overview
This unit provides an introduction to the field of financial econometrics which draws on ideas and methods from finance, economics, probability, statistics and applied mathematics, and uses them to explain the complex world of finance and financial instruments. You will learn about different aspects of asset pricing, namely specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions. You will also learn how to decipher the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects, and how to incorporate these in volatility models such as ARCH and multi-variate extensions. Further, you will apply these techniques to financial time series in real time (e.g. stock prices) and evaluate the forecast performance of these models.
Offerings in 2021
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
Assessment
- Within semester assessment40%
- ExaminationThreshold hurdle60%
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
- Workshops18 hours
- Lectures24 hours
- Teaching approachActive learning
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 7 areas of study in the 2021 handbook.
- ACTRLSTD02Core unitsActuarial studiesNo reviews yet
- ACTRLSTD06Additional actuarial studies unitsActuarial studiesNo reviews yet
- ECONOMTR02Core unitsEconometricsNo reviews yet
- ECONOMTR05B. Additional econometrics unitsEconometricsNo reviews yet
- FINANCE05Additional finance unitsFinanceNo reviews yet
- FININMAT03Financial and insurance mathematics elective unitsFinancial and insurance mathematicsNo reviews yet
- MTHFNDEC01List 2 elective unitsMathematical foundations of econometricsNo reviews yet
Contacts
- Chief Examiners
- Dr Natalia Bailey
Common questions
What are the prerequisites for ETC3460?
You need ETF2100, ETW2510, ETC2410, MTH2232 or ETC3440 before you enrol. Enrolment rules also apply.
What can I take after ETC3460?
ETC3460 is a prerequisite or corequisite for 4 units, including BEX5460, ETC4460, ETC5460 and ETF5231. Those lead on to 6 units in all.
When is ETC3460 offered?
In 2021, 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.
Does ETC3460 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.
Which majors and minors include ETC3460?
ETC3460 is part of Actuarial studies; Econometrics; Finance; Financial and insurance mathematics; and Mathematical foundations of econometrics.