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 … For more content click the Read More button below.
Offerings
S2-01-CAULFIELD-ON-CAMPUS
Requisites
Prerequisite
Prohibition
Rules
Enrolment Rule
Contacts
Chief Examiner(s)
Professor Heather Anderson
Learning outcomes
On successful completion of 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.
Teaching approach
Active learning
Assessment
1 - Within semester
2 - Examination
Scheduled and non-scheduled teaching activities
Workshops
Workload requirements
Workload
Learning resources
Required resources
Technology resources
Other unit costs
Costs are indicative and subject to change.
Electronics, calculators and tools: $100
Electronics, calculators and tools: $100