ETX5460 Advanced financial econometrics
Faculty of Business and Economics
ETX5460 Advanced financial econometrics is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2027 in Semester 2 at Caulfield. It needs ETC3460, ETF5330, ETF3300 or ETC5346.
- Credit points
- 6
- Offered in 2027
- Semester 2
- Caulfield
- Assessment
- Exam 60%
- and 2 other tasks
- Workload
- 144 hours
- per semester
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Requisites
Before ETX5460
Prerequisites
Pass these before you enrol.
Prohibitions
You can't enrol if you have passed any of these.
After ETX5460
No unit lists ETX5460 as a prerequisite in the 2027 handbook.
Enrolment rules
If you are enrolled in B6023 there are no prerequisites.
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 2027
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Caulfield | On campus |
Assessment
- Project20%
- Project20%
- Examination60%
Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.
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. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.
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.
Where it fits
ETX5460 is part of 1 area of study in the 2027 handbook.
Contacts
- Chief Examiners
- Associate Professor Natalia Bailey
Common questions
What are the prerequisites for ETX5460?
You need ETC3460, ETF5330, ETF3300 or ETC5346 before you enrol. Enrolment rules also apply.
When is ETX5460 offered?
In 2027, ETX5460 runs in Semester 2 at Caulfield.
How much work is ETX5460?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETX5460 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 2 other tasks.
Which majors and minors include ETX5460?
ETX5460 is part of Econometrics and business statistics.