This unit introduces students 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. -- Course Website
Instructor: Associate Professor Gael Martin and Dr Catherine Forbes
Prerequisites: Students must have passed one of the following: ETC3460, ETC4346 and at least one of: ETC3400, ETC3410, ETC3450 before undertaking this unit.
