Financial Econometrics (ECOM90011)

Graduate courseworkPoints: 12.5Not available in 2025

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Overview

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Econometric tools based on maximum likelihood and generalised method of moments are used to analyse financial data including stock returns, exchange rates, option prices, interest rates and bonds prices. Applications consist of multi-factor models in finance, univariate and multivariate models of volatility, long-run models of prices using cointegration and panel cointegration. A range of computer software and financial databases will be used throughout the course. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.

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
  • Orally present the results of an independent piece of research
  • Complete a written research project

Generic skills

On successful completion of this subject, students should have improved the following generic skills:

  • Evaluation of ideas, views and evidence
  • Synthesis of ideas, views and evidence
  • Critical thinking
  • Accessing economic and other information
  • Summary and interpretation of information
  • Using computer programs
  • Statistical reasoning
  • Problem solving skills
  • Collaborative learning and teamwork
  • Written communication

Last updated: 4 March 2025

Eligibility and requirements

Prerequisites

Admission into the MC-COMFIN Master of Commerce (Finance)

OR

One of

Code Name Teaching period Credit Points
ECOM40006 Econometrics 3
Semester 1 (On Campus - Parkville)
 12.5
ECOM90013 Econometrics 3
Semester 1 (On Campus - Parkville)
 12.5

Corequisites

None

Non-allowed subjects

Code Name Teaching period Credit Points
ECOM40004 Financial Econometrics
Not available in 2025
 12.5

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%

Research Project (including Oral Presentation)

  • 3000 words
From Week 12 to Week 1360%

Additional details

Students are required to complete an oral presentation of their Research Project in Week 12.  The final version of the Research Project is due in Week 13.

The Research Report is not to exceed 3,000 words. An electronic copy of the completed Research Report is required to be submitted. A copy of all data used and any relevant work-files containing transformed data will also be required to be submitted at the same time.

Last updated: 4 March 2025

Dates & times

Not available in 2025

Time commitment details

Estimated total time commitment of 170 hours per semester

What do these dates mean

Visit this webpage to find out about these key dates, including how they impact on:

  • 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.

  • Subject notes

    Students may not gain credit for both ECOM90011 Financial Econometrics and ECOM40004 Financial Econometrics.

  • Related Handbook entries

    This subject contributes to the following:

    TypeName
    CourseMaster of Commerce (Finance)
    CourseMaster of Applied Econometrics
    CourseMaster of Economics
  • Available through the Community Access Program

    About the Community Access Program (CAP)

    This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.

    Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants

    Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.

  • 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