Faculty of Business and Economics

Undergraduate - Unit

This unit entry is for students who completed this unit in 2014 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 2, 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered, or view unit timetables.

FacultyFaculty of Business and Economics
Organisational UnitDepartment of Econometrics and Business Statistics
OfferedCaulfield Second semester 2014 (Day)
Coordinator(s)Dr Hsein Kew


This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series. It teaches how to model and estimate the single-factor and multiple-factor capital asset pricing models; and conduct diagnostic checks and reliable statistical inferences on various risk-return relationships and financial market hypotheses. It also introduces recent literature on modelling, estimating and forecasting financial markets' volatility; and parametric and nonparametric methods to estimate the value at risk and expected shortfall. EVIEWS software will be used to carry out financial data analysis and applied research projects.


The learning goals associated with this unit are to:

  1. assess the time series and distributional properties of financial data
  2. evaluate the risk-return relationship among financial assets
  3. estimate the long run relationship among financial time series and test market hypotheses arising in finance
  4. analyse and model the volatility of financial returns and estimated value at risk and relate measures
  5. demonstrate the ability to generate and analyse EViews computer output.


Within semester assessment: 35%
Examination: 65%

Chief examiner(s)

Workload requirements

3 hours per week


ETF2100 or ETX2111 or ETX2121 or equivalent.


ETC3460, ETC4346 , ETF5930, ETF9300