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Financial econometrics
ETC3460
Synopsis
This unit provides an introduction to the field of financial econometrics which draws on ideas and methods from finance, economics, probability, statistics and applied mathematics, and uses them to explain the complex world of finance and financial instruments. You will learn about different aspects of asset pricing, namely specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions. You will also learn how to decipher the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects, and how to incorporate these in volatility models such as ARCH and multi-variate extensions. Further, you will apply these techniques to financial time series in real time (e.g. stock prices) and evaluate the forecast performance of these models.
Sourced from the Monash Handbook 2026.
Quick facts
- Credit points
- 6
- Level
- 3
- Audience
- Undergraduate
- Type
- Coursework
- School
- Faculty of Business and Economics
- Faculty
- Department of Econometrics and Business Statistics
- Handbook year
- 2026
Prerequisites (7)
- Introductory econometricsETC2410
- Statistical modelling for actuarial studiesETC2560
- ETC3440ETC3440
- Introductory econometricsETF2100
- Statistical modelling for decision makingETW2510
- Introductory econometricsETX2100
- Mathematical statisticsMTH2232
What it unlocks (2)
Offerings (1)
- First semesterClayton · BLENDED
Listed in 11 areas of study
- Actuarial studiesCore units
- Actuarial studiesAdditional actuarial studies units
- Actuarial studiesCore units
- Business analytics for economicsSpecified discipline studies
- EconometricsCore units
- EconometricsLevel 3 econometrics units
- FinanceAdditional finance units
- Financial and insurance mathematicsFinancial and insurance mathematics elective unit
- Macroeconomics and financial marketsCore studies
- Mathematical economics and econometricsSpecified discipline studies
- Mathematical foundations of econometricsElective units