Note: This is an archived Handbook entry from 2009. Search for this in the current handbook
|Dates & Locations:|| |
This subject has the following teaching availabilities in 2009:Semester 1, - Taught on campus.
Timetable can be viewed here. For information about these dates, click here.
|Time Commitment:||Contact Hours: Three hours per week of lectures and tutorials (Semester 1). |
Total Time Commitment: Not available
|Prerequisites:||316-806 Quantitative Analysis of Financial Markets I or equivalent.|
|Recommended Background Knowledge:||None|
|Non Allowed Subjects:||None|
|Core Participation Requirements:||
For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.
It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support: http://services.unimelb.edu.au/disability
CoordinatorProf Vance Lindsay Martin
|Subject Overview:||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.|
|Objectives:||On successful completion of this subject students should be able to: |
|Assessment:||Assignments not exceeding 2000 words (20%), a mid-semester test (10%) and a final examination (70%).|
|Breadth Options:|| |
This subject is not available as a breadth subject.
|Fees Information:||Subject EFTSL, Level, Discipline & Census Date|
On successful completion of this subject, students should have improved the following generic skills:
|Notes:||This subject is only available to students enrolled in the second year of the Master of Financial Management.|
Master of Finance |
Master of Financial Management
Download PDF version.