Course Title: Financial Econometrics

Part A: Course Overview

Course Title: Financial Econometrics

Credit Points: 12

Course Code




Learning Mode

Teaching Period(s)


City Campus


625H Economics, Finance and Marketing


Sem 1 2006,
Sem 2 2006,
Sem 1 2007,
Sem 2 2007,
Sem 1 2008,
Sem 2 2008,
Sem 1 2009,
Sem 2 2009,
Sem 1 2010,
Sem 2 2010,
Sem 1 2011,
Sem 2 2011,
Sem 1 2012,
Sem 2 2012,
Sem 1 2013,
Sem 2 2013,
Sem 1 2014,
Sem 2 2014,
Sem 1 2015,
Sem 2 2015,
Sem 1 2016,
Sem 2 2016


Malaysia Institute of Managemt


625H Economics, Finance and Marketing


Offsh 2 08,
Offsh 2 09


Singapore Inst of Management


625H Economics, Finance and Marketing


Offsh 2 07,
Offsh 2 08,
Offsh 2 09,
Offsh 2 10,
Offsh 2 11,
Offsh2 12,
Offsh2 13

Course Coordinator: Dr. Mark Stewart

Course Coordinator Phone: +61 3 9925 5079

Course Coordinator Email:

Course Coordinator Availability: Please check with coordinator

Pre-requisite Courses and Assumed Knowledge and Capabilities

Required Prior Study
005014 - Quantitative Methods in Finance


Course Description


This course introduces you to the econometric and time series methods used to conduct empirical studies in Finance. You will use traditional Econometric techniques to conduct studies such as those that seek to estimate market risk or betas. The course also provides an introduction to recent developments in econometrics and explains how these new methods are used in Finance. You will also learn how to use the Windows based EViews econometric package to estimate models and to evaluate these estimates.

Objectives/Learning Outcomes/Capability Development


On successful completion of this course you will be able to:

  1. Use simple linear regression to analysis market models.
  2. Use multiple regression to investigate the CAPM and event studies.
  3. Use ANOVA, forecasting and the error properties to evaluate competing econometric models.
  4.  Estimate co-integration and error correction models to evaluate non-stationary data.
  5. Use Box-Jenkins method to obtain time series models and assess their accuracy.
  6. Estimate ARCH models and use them to assess financial risk.

Overview of Learning Activities

In this course you will be encouraged to be an active learner. Your learning will be supported through various in-class and online activities comprising individual and group work. These may include quizzes; assignments; prescribed readings; sourcing, researching and analysing specific information; solving problems; conducting presentations; producing written work and collaborating with peers on set tasks or projects.

Overview of Learning Resources

Various learning resources are available online through myRMIT Studies\Blackboard. In addition to topic notes; assessment details and a study schedule you may also be provided with links to relevant online information; readings; audio and video clips and communication tools to facilitate collaboration with your peers and to share information.
Resources are also available online through RMIT Library databases and other facilities. If you require assistance with the RMIT library facilities contact the Business Liaison Librarian for your school. Contact details for Business Liaison Librarians are located online on the RMIT Library website.
Additional resources and/or sources to assist your learning will be identified by your course coordinator will be made available to you as required during the teaching period.

Overview of Assessment

The assessment alignment list below shows the assessment tasks against the learning outcomes they develop.

Assessment Task 1: 50%
Linked CLOs: 1, 2, 3, 4, 5, 6
Final Examination: 50%
Linked CLOs: 1, 2, 3, 4, 5, 6

Feedback will be provided throughout the semester in class and/or in online forums through individual and group feedback on practical exercises and by individual consultation.