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ETF5300 - Applied financial econometrics

6 points, SCA Band 2, 0.125 EFTSL

Postgraduate Faculty of Business and Economics

Leader: Dr Jonathan Dark


Caulfield Second semester 2007 (Day)


Illustrates how statistical and econometric methods can be applied to financial data to solve problems arising in financial markets.Also covers modelling, estimating and testing the volatility of financial markets. Practical examples will be discussed in lectures to enhance the understanding of analysing financial data using the statistical and econometric tools taught in this unit. An integral component will be the completion of a number of minor research projects enabling students to develop the necessary skills.


The learning goals associated with this unit are to:


Two projects: 60%;
Examination (2 hour): 40%

Contact hours

One 2-hour lecture and one 1-hour tutorial/practical per week


Prerequisites: Students must be enrolled in course codes 3816 or 3822 OR must have passed AFF2631 and any of ETF3200, ETF3300, ETF9200 or ETF9300.