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ETC5346 · Financial econometrics

Official Handbook

2026 Handbook6 credit pointsLevel 5Department of Econometrics and Business Statistics

Last checked: 23 Aug 2026 UTC

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

CampusTeaching periodMode
ClaytonFirst semesterActivities scheduled as a mix of on-campus and online activities (BLENDED)

Assessment

The Handbook lists an examination for this unit.

#AssessmentTypeWeightHurdle
11 - WrittenWritten40%
22 - ExaminationExamination60%

Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.

Requisites

prohibitions

  • ETC3460 — Financial econometrics
  • ETF3300 — Quantitative methods for financial markets
  • ETF5330 — Quantitative methods for financial markets
  • ETF5930 — Financial econometrics

Joined by OR.

prerequisite

  • ETC2410 — Introductory econometrics
  • ETC3440 — Introductory econometrics
  • ETF2100 — Introductory econometrics
  • ETF5910 — Introductory applied econometrics
  • ETW2510 — Statistical modelling for decision making
  • MTH2232 — Mathematical statistics
  • ETC2560 — Statistical modelling for actuarial studies
  • ETC5256 — Statistical modelling for actuarial studies
  • ETC5241 — Introductory econometrics

Joined by OR.

Learning outcomes

  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

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.

ActivityDuration
Tutorials12 hours
Workshops12 hours
Seminars24 hours

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