ETC5346 Financial econometrics
Faculty of Business and Economics
ETC5346 Financial econometrics is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 1 at Clayton. It needs ETF2100, ETF5910, ETC2410, ETS2410 or ETW2410 and unlocks 3 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
No reviews yetNo reviews yet. Be the first to review ETC5346.
Requisites
Before ETC5346
Prohibitions
You can't enrol if you have passed any of these.
After ETC5346
3 units list ETC5346 as a prerequisite or corequisite.
Equivalent units
The same content under another code. Only one of them counts.
Overview
This unit focuses on 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 |
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
- 5
critically analyse the use of time series in pricing of financial products.
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.
Contacts
- Chief Examiners
- Dr Natalia Bailey
Common questions
What are the prerequisites for ETC5346?
You need ETF2100, ETF5910, ETC2410, ETS2410 or ETW2410 before you enrol.
What can I take after ETC5346?
ETC5346 is a prerequisite or corequisite for 3 units, including ETC5460, ETF5231 and ETF5300.
When is ETC5346 offered?
In 2020, ETC5346 runs in Semester 1 at Clayton.
How much work is ETC5346?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.