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 2023 in Semester 1 at Clayton. It needs ETC5256, ETC3440, MTH2232, ETF2100, ETC2560, ETF5910, ETC2410 or ETW2510 and unlocks 1 unit.
- Credit points
- 6
- Offered in 2023
- Semester 1
- Clayton
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2023 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.
Prerequisites
Pass these before you enrol.
- ETC5256Statistical modelling for actuarial studiesNo reviews yet
- ETC3440Introductory econometricsNo reviews yet
- MTH2232Mathematical statisticsNo reviews yet
- ETF2100Introductory econometricsNo reviews yet
- ETC2560Statistical modelling for actuarial studiesNo reviews yet
- ETF5910Introductory applied econometricsNo reviews yet
- ETC2410Introductory econometricsNo reviews yet
- ETW2510Introduction to econometricsNo reviews yet
After ETC5346
1 unit 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 2023
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
Assessment
- Within semester assessment40%
- Examination60%
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
- Tutorials18 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.
This unit engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
Learning resources
Technology resources
There may be an additional cost associated with purchasing a physical and/or virtual calculator. Specific details will be provided in the Learning Management System by commencement of Orientation week.
Contacts
- Chief Examiners
- Dr Natalia Bailey
Common questions
What are the prerequisites for ETC5346?
You need ETC5256, ETC3440, MTH2232, ETF2100, ETC2560, ETF5910, ETC2410 or ETW2510 before you enrol.
What can I take after ETC5346?
ETC5346 is a prerequisite or corequisite for 1 unit, including ETC5460.
When is ETC5346 offered?
In 2023, 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.