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University of Melbourne

Areas of Study

Quantitative Analysis of Finance II

  • ECON90010
  • Contact Hours: Three hours per week of lectures and tutorials
    Total Time Commitment: Estimated total time commitment of 120 hours per semester
  • 12.50
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The focus of the subject is on the application of more advanced quantitative techniques to analyse and model financial data. Special emphasis is given to maximum-likelihood estimation and testing procedures under alternative distributional assumptions. Topics will include: nonspherical and nonlinear models, generalised method of moments and recent advances in Monte Carlo estimation methods. A number of applications in financial econometrics are discussed: including multivariate GARCH, the estimation of latent factor models of the term structure of interest rates with levels effects and estimating stochastic differential equations. -- Course Website

Prerequisites: ECON90033 Quantitative Analysis of Finance I or equivalent Subject Study Period Commencement: Credit Points: ECON90033 Quantitative Analysis of Finance I Semester 1, Semester 2 12.50



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