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 2022 in Semester 1 at Clayton. It needs ETC3440, ETF2100, ETF5910, ETC2410 or ETW2510 and unlocks 2 units, leading on to 4 units in all.
- Credit points
- 6
- Offered in 2022
- Semester 1
- Clayton
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2022 handbook entry. See the 2027 entry.
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Requisites
Before ETC5346
Prohibitions
You can't enrol if you have passed any of these.
After ETC5346
2 units list ETC5346 as a prerequisite or corequisite.
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 2022
| 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
- 5
critically analyse the use of time series in pricing of financial products.
Workload and teaching
- Lectures24 hours
- Tutorials18 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.
This unit engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
Contacts
- Chief Examiners
- Dr Natalia Bailey
Common questions
What are the prerequisites for ETC5346?
You need ETC3440, ETF2100, ETF5910, ETC2410 or ETW2510 before you enrol.
What can I take after ETC5346?
ETC5346 is a prerequisite or corequisite for 2 units, including ETC5460 and ETF5231. Those lead on to 4 units in all.
When is ETC5346 offered?
In 2022, 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.
Does ETC5346 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.