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ETC4346 - Financial econometrics

6 points, SCA Band 2, 0.125 EFTSL

Undergraduate, Postgraduate Faculty of Business and Economics

Leader: Professor Keith McLaren and Dr Catherine Forbes


Clayton First semester 2007 (Day)


The specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions; the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects; volatility models such as ARCH models of financial time series, with applications to stock prices, derivatives, and exchange rates including the forecast performance of these models.


The learning objectives of this unit are to:


Written assignments: 40%
Examination (2 hours): 60%

Contact hours

Two 1-hour lectures and one 2-hour tutorial per week


One of AFC1100, or AFC2100, or AFC2140 and one of ETC2400, or ETC2410, or ETC3440, or ETC4344 or permission