units

ETC3460

Faculty of Business and Economics

Undergraduate - Unit

This unit entry is for students who completed this unit in 2014 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

print version

6 points, SCA Band 3, 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered, or view unit timetables.

LevelUndergraduate
FacultyFaculty of Business and Economics
Organisational UnitDepartment of Econometrics and Business Statistics
OfferedClayton First semester 2014 (Day)
Coordinator(s)Professor Heather Anderson

Synopsis

The specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions; the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects; volatility models such as ARCH models of financial time series, with applications to stock prices, derivatives, and exchange rates including the forecast performance of these models.

Outcomes

The learning goals associated with this unit are 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.

Assessment

Within semester assessment: 40%
Examination: 60%

Chief examiner(s)

Workload requirements

4 hours per week

Prerequisites

Students must have passed one of the following units: AFC1100, AFC2000, AFC2100, AFC2140 and also one from the following: ECC2410, ETC2410, ETC3440, ETC4344, ETX9344 or be granted permission, before undertaking this unit.

Prohibitions

ETC4346, ETF3300