ETF5300 - Applied financial econometrics - 2017

6 points, SCA Band 3, 0.125 EFTSL

Postgraduate - Unit

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


Business and Economics

Organisational Unit

Department of Econometrics and Business Statistics


Associate Professor Bill Zhang

Unit guides



  • Second semester 2017 (Evening)


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:

  1. identify the issues involved when modelling the dynamics of financial markets
  2. estimate volatility models using econometrics software
  3. critically evaluate the financial econometrics literature
  4. explain the financial market applications of the non linear models developed
  5. undertake a research project that applies the techniques and analysis to a financial market of interest.


Within semester assessment: 60% + Examination: 40%

Workload requirements

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. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information

Chief examiner(s)


Students must be enrolled in course code 4412, 3822 or B6001, or must have passed either ETF3200, ETF3300, ETC3460, ETF5930, ETF9300 or equivalent.