ETC5346 Financial econometrics
Faculty of Business and Economics
ETC5346 Financial econometrics is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2027 in Semester 1 at Clayton. It needs ETC2410, ETC3440, ETF2100, ETF5910, ETW2510, MTH2232, ETC2560, ETC5256 or ETC5241 and unlocks 1 unit.
- Credit points
- 6
- Offered in 2027
- Semester 1
- Clayton
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
Reviews
No reviews yetNo reviews yet. Be the first to review ETC5346.
Requisites
Before ETC5346
Prohibitions
You can't enrol if you have passed any of these.
Prerequisites
Pass these before you enrol.
- ETC2410Introductory econometricsNo reviews yet
- ETC3440Introductory econometricsNo reviews yet
- ETF2100Introductory econometricsNo reviews yet
- ETF5910Introductory applied econometricsNo reviews yet
- ETW2510Statistical modelling for decision makingNo reviews yet
- MTH2232Mathematical statisticsNo reviews yet
- ETC2560Statistical modelling for actuarial studiesNo reviews yet
- ETC5256Statistical modelling for actuarial studiesNo reviews yet
- ETC5241Introductory econometricsNo reviews yet
After ETC5346
1 unit list ETC5346 as a prerequisite or corequisite.
Equivalent units
The same content under another code. Only one of them counts.
Overview
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.
Offerings in 2027
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | Blended |
Assessment
- Project40%
- Examination60%
Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.
Learning outcomes
When you finish this unit, you should be able to:
- 1
describe the time series and distributional features of financial data
- 2
explain appropriate specification, estimation and testing of asset pricing models
- 3
evaluate the need for volatility models for financial returns
- 4
describe the specification and estimation of conditional volatility models
- 5
critically analyse the use of time series in pricing of financial products.
Workload and teaching
- Workshops12 hours
- Tutorials12 hours
- Seminars24 hours
- Teaching approachProblem-based learning
- Teaching approachActive learning
Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.
This unit includes problem-based learning approaches, where you engage in research, integrate theory and practice and apply knowledge and skills to develop viable solutions in response to a problem or set of problems.
This unit engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
Learning resources
Technology resources
There may be an additional cost associated with purchasing a physical and/or virtual calculator. Specific details will be provided in the Learning Management System by commencement of Orientation week.
Contacts
- Chief Examiners
- Dr Hsein Kew
Common questions
What are the prerequisites for ETC5346?
You need ETC2410, ETC3440, ETF2100, ETF5910, ETW2510, MTH2232, ETC2560, ETC5256 or ETC5241 before you enrol.
What can I take after ETC5346?
ETC5346 is a prerequisite or corequisite for 1 unit, including ETX5460.
When is ETC5346 offered?
In 2027, ETC5346 runs in Semester 1 at Clayton.
How much work is ETC5346?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETC5346 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.