Financial Econometrics (ECOM40004)

HonoursPoints: 12.5Not available in 2025

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Overview

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Features of financial data require specific methods of analysis. Basic econometric tools are presented for the analysis of data such as stock exchange returns, exchange rates, bonds prices, etc. Applications of econometric models in finance include option pricing, extreme values and value at risk as well as financial assets portfolio selection. A special focus is put on modelling and forecasting of returns and volatility of financial assets. An up to date selection time series econometric models and methods is presented. The computer software used is R.

Intended learning outcomes

On successful completion of this subject, students should be able to:

  • Describe the properties of econometric techniques (such as unit roots, cointegration, ARCH/GARCH and Kalman filters) used in financial analysis
  • Apply econometric techniques to test hypothesis in financial economics (such as the efficient markets hypothesis, the theory of speculative efficiency, the capital asset pricing model)
  • Evaluate the robustness of results obtained from using econometric techniques on real world financial data
  • Analyse results obtained from financial data and explain their implications for economic and financial theory

Generic skills

  • High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis; critical thinking; synthesis of data and other information; evaluation of data and other information; use of computer software; accessing data and other information from a range of sources; receptiveness to alternative ideas.
  • Moderate level of development: collaborative learning; team work.
  • Some level of development: oral communication.

Last updated: 4 March 2025

Eligibility and requirements

Prerequisites

Admission into or selection of one of the following:

  • BH-COM Bachelor of Commerce (Degree with Honours)
  • Economics specialisation (formal) in the BH-ARTS Bachelor of Arts (Degree with Honours)

AND

Either:

Code Name Teaching period Credit Points
ECOM30002 Econometrics 2
Semester 1 (On Campus - Parkville)
Semester 2 (On Campus - Parkville)
 12.5

OR

A mark of 65% or above in:

Code Name Teaching period Credit Points
ECOM30001 Basic Econometrics
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
 12.5

Corequisites

None

Non-allowed subjects

Code Name Teaching period Credit Points
ECOM90011 Financial Econometrics
Not available in 2025
 12.5

Recommended background knowledge

Please refer to Prerequisites and Corequisites.

Inherent requirements (core participation requirements)

The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.

Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home

Last updated: 4 March 2025

Assessment

DescriptionTimingPercentage

Assignment 1

  • 1000 words
Week 620%

Assignment 2

  • 1000 words
Week 1020%

End-of-semester examination

  • 2 hours
Hurdle requirement: Successful completion of this subject requires a pass (50%) mark in the final exam.		During the examination period60%

Last updated: 4 March 2025

Dates & times

Not available in 2025

Time commitment details

170 Hours

What do these dates mean

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  • Your tuition fees, academic transcript and statements.
  • And for Commonwealth Supported students, your:
       -  Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
     

    Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.

Last updated: 4 March 2025

Further information

  • Texts

    Prescribed texts

    You will be advised of prescribed texts by your lecturer.

  • Available to Study Abroad and/or Study Exchange Students

    This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.

Last updated: 4 March 2025