ETC5460 Financial econometrics 2
Faculty of Business and Economics
ETC5460 Financial econometrics 2 is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2021 in Semester 2 at Clayton. It needs ETC5346, ETF5300, ETF5330, ETF5930 or ETC3460.
- Credit points
- 6
- Offered in 2021
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2021 handbook entry. See the 2023 entry.
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Requisites
Before ETC5460
Prerequisites
Pass these before you enrol.
Prohibitions
You can't enrol if you have passed any of these.
After ETC5460
No unit lists ETC5460 as a prerequisite in the 2021 handbook.
Equivalent units
The same content under another code. Only one of them counts.
Overview
This unit introduces you 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 2021
| 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
Eviews, R ( https://cran.r-project.org ), RStudio ( https://www.rstudio.com/products/RStudio/#Desktop )
Contacts
- Chief Examiners
- Professor Donald Poskitt
Common questions
What are the prerequisites for ETC5460?
You need ETC5346, ETF5300, ETF5330, ETF5930 or ETC3460 before you enrol.
When is ETC5460 offered?
In 2021, ETC5460 runs in Semester 2 at Clayton.
How much work is ETC5460?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETC5460 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.