Faculty of Business and Economics

Monash University

Postgraduate - Unit

This unit entry is for students who completed this unit in 2013 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

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6 points, SCA Band 3, 0.125 EFTSL

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FacultyFaculty of Business and Economics
Organisational UnitDepartment of Econometrics and Business Statistics
OfferedCaulfield First semester 2013 (Day)
Caulfield Second semester 2013 (Evening)
Coordinator(s)Dr Hsein Kew


This unit covers statistics econometrics tools to: analyse and model the key characteristics of empirical distributions of asset returns; model and estimate the simple capital asset pricing model and its extensions; and test for various financial market hypotheses. It includes modelling, estimating and analysing time series properties of stationary and non-stationary financial data: and modelling and estimating simple and multivariate long-run relationships among financial variables; and conducting Granger causality testing. It also includes modelling and estimation of ARCH/GARCH volatilities and time-varying risk premium on financial assets; and estimation of value-at-risks and expected shortfalls of assets and portfolios. Students will be requested to work through a number of questions and projects with a broad range of financial data sets.


The learning goals associated with this unit are to:

  1. describe, interpret and critically analyse financial data
  2. apply the simple and multivariate models and theory to model the relationship among financial variables, interpret the results, and conduct reliable statistical inference
  3. model the test for stationary behaviour of financial time series
  4. model the long-run relationships among financial time series
  5. model the volatility in financial data and perform value-at-risk calculations that are used as an input into the financial decision making process.
  6. be proficient at econometric modelling of financial data using the software EVIEWS, which is widely used in the commercial world
  7. work as a group on a joint project.


Within semester assessment: 40%
Examination: 60%

Chief examiner(s)

Contact hours

3 hours per week


Students must be enrolled in course codes 3814, 3815, 3816, 3818, 3822, 3850 or 4412 or must have passed AFF9641 or AFF9250


ETC3460, ETC4346, ETF3300