Skip to content | Change text size
Handbooks Courses Units Related information

ETC4346 - Financial econometrics

6 points, SCA Band 3, 0.125 EFTSL

Undergraduate, Postgraduate Faculty of Business and Economics

Leader(s): Professor Keith McLaren and Dr Catherine Forbes


Clayton First semester 2009 (Day)


The specification, estimation and testing of asset pricing models, including the capital asset pricing model and extensions; the statistical characteristics of financial data emphasising skewness, kurtosis and volatility aspects; volatility models such as ARCH models of financial time series, with applications to stock prices, derivatives, and exchange rates including the forecast performance of these models.


The learning goals associated with this unit are to:

  • describe the time series and distributional features of financial data
  • explain appropriate specification, estimation and testing of asset pricing models
  • evaluate the need for volatility models for financial returns
  • describe the specification and estimation of conditional volatility models.


Within semester assessment: 40%
Examination (2 hours): 60%

Contact hours

Two 1-hour lectures and one 2-hour tutorial per week


Students must have passed one of the following: AFC1100, AFC2000, AFC2100, AFC2140 and also one from: ECC2410, ETC2410, ETC3440, ETC4344, ETX9344 or be granted permission, before undertaking this unit.



[an error occurred while processing this directive]