ETC5460 Advanced financial econometrics
Faculty of Business and Economics
ETC5460 Advanced financial econometrics is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2023 in Semester 2 at Caulfield. It needs ETF5330, ETF3300, ETC3460 or ETC5346.
- Credit points
- 6
- Offered in 2023
- Semester 2
- Caulfield
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
The 2027 handbook has no page for ETC5460. This is its 2023 entry, the latest one.
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Requisites
Before ETC5460
Prohibitions
You can't enrol if you have passed any of these.
After ETC5460
No unit lists ETC5460 as a prerequisite in the 2023 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 2023
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Caulfield | On campus |
Assessment
- Within semester assessment40%
- Examination60%
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
- Workshops36 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
Required resources
Eviews, R ( https://cran.r-project.org ), RStudio ( https://www.rstudio.com/products/RStudio/#Desktop )
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
- Professor Heather Anderson
Common questions
What are the prerequisites for ETC5460?
You need ETF5330, ETF3300, ETC3460 or ETC5346 before you enrol.
When is ETC5460 offered?
In 2023, ETC5460 runs in Semester 2 at Caulfield.
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.