Note: This is an archived Handbook entry from 2011.
|Dates & Locations:|| |
This subject has the following teaching availabilities in 2011:Semester 1, Parkville - 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 |
Total Time Commitment: Estimated total time commitment of 120 hours per semester
|Prerequisites:|| ECON90033 Quantitative Analysis of Finance I or equivalent |
Study Period Commencement:
|Recommended Background Knowledge:||None|
|Non Allowed Subjects:||None|
|Core Participation Requirements:||
For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.
The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/
CoordinatorProf Vance 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: |
|Prescribed Texts:||You will be advised of prescribed texts by your lecturer.|
|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 Finance (Master of Financial Management).|
Master of Finance |
Master of Financial Management
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