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EC5213 - Financial Econometrics

[Offered in odd-numbered years]

Credit points: 3
Year: 2019
Student Contribution Band: Band 3
Administered by: College of Business, Law & Governance

This subject provides an advanced level overview of econometric tools most used in empirical economics and finance to gain an understanding of the sources and characteristics of financial data, such as stock exchange returns, exchange rates, interest rates, bond rates etc. Applications of econometric models in finance include volatility modelling and forecasting (ARCH/GARCG/GARCH-M/EGARCH/GJR models), co-integration analysis, extreme theory and value-at-risk (market risk measure).

Learning Outcomes

  • determine the empirical characteristics of financial data;
  • describe the properties of econometric techniques used in financial data analysis;
  • perform tests of financial hypotheses e.g. Efficient Market Hypothesis (EMH), Capital Asset Pricing Model (CAPM), Asset Pricing Theories (APT);
  • modelling both log-run relationships and short-run interactions among financial time series;
  • provide input into the financial decision making process.
Prerequisites: EC2101 OR EC3413 OR EC2413 OR BX3122


Townsville, Internal, Study Period 1
Census Date 28-Mar-2019
Coord/Lect: Dr Rabiul Beg.
Workload expectations:

The student workload for this 3 credit point subject is approximately 130 hours.

  • 26 hours lectures
  • 12 hours tutorials
  • 12 hours workshops/Seminars - Workshops
  • assessment and self-directed study
Assessment: end of semester exam (50%); quizzes or tests (30%); assignments (20%).

Note: Minor variations might occur due to the continuous Subject quality improvement process, and in case of minor variation(s) in assessment details, the Subject Outline represents the latest official information.