ETC4460 Financial econometrics 2
Faculty of Business and Economics
ETC4460 Financial econometrics 2 is a level 4, 6-credit-point, undergraduate and postgraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 2 at Clayton. It needs ETF3300 or ETC3460.
- Credit points
- 6
- Offered in 2020
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2020 handbook entry. See the 2023 entry.
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Requisites
Before ETC4460
Prerequisites
Pass these before you enrol.
After ETC4460
No unit lists ETC4460 as a prerequisite in the 2020 handbook.
Enrolment rules
Students must be enrolled in course B3701.
Equivalent units
The same content under another code. Only one of them counts.
Overview
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.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- Within semester assessment40%
- ExaminationThreshold hurdle60%
Learning outcomes
When you finish this unit, you should be able 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.
Workload and teaching
- Workshops18 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.
Learning resources
Required resources
Software: Eviews, R ( https://cran.r-project.org ), RStudio ( https://www.rstudio.com/products/RStudio/#Desktop )
Contacts
- Chief Examiners
- Professor Jiti Gao
Common questions
What are the prerequisites for ETC4460?
You need ETF3300 or ETC3460 before you enrol. Enrolment rules also apply.
When is ETC4460 offered?
In 2020, ETC4460 runs in Semester 2 at Clayton.
How much work is ETC4460?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETC4460 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.