Skip to main content
Unit of study_

ECMT3150: The Econometrics of Financial Markets

2024 unit information

This unit studies and develops the econometric models and methods employed for the analysis of financial data arising from financial markets. It extends and complements the material covered in ECMT2130. Topics include: Discrete time financial time series models; modelling and forecasting conditional volatility; modelling of high frequency and/or non-synchronous financial data and the econometrics of market microstructure issues; the pricing of financial derivatives; Value-at-Risk and market risk management. Students will undertake empirical analysis on financial datasets using appropriate computing software.

Unit details and rules

Managing faculty or University school:

Economics

Code ECMT3150
Academic unit Economics
Credit points 6
Prerequisites:
? 
ECMT2010 or ECMT2110 or ECMT2030 or ECMT2130 or ECMT2160
Corequisites:
? 
None
Prohibitions:
? 
ECMT3050
Assumed knowledge:
? 
None

At the completion of this unit, you should be able to:

  • LO1. attain a deeper understanding of econometric methods and their application to, and adaption for, modelling and forecasting financial market data
  • LO2. demonstrate proficiency in time series econometric techniques, including estimation, inference and forecasting
  • LO3. develop proficiency in collecting and processing different types of financial time series data efficiently and with integrity
  • LO4. develop proficiency in the use of appropriate computing software and packages for financial time series modelling and forecasting
  • LO5. develop proficiency in presenting the modelling result effectively to both financial econometricians and general audience.

Unit availability

This section lists the session, attendance modes and locations the unit is available in. There is a unit outline for each of the unit availabilities, which gives you information about the unit including assessment details and a schedule of weekly activities.

The outline is published 2 weeks before the first day of teaching. You can look at previous outlines for a guide to the details of a unit.

Session MoA ?  Location Outline ? 
Semester 2 2024
Normal day Camperdown/Darlington, Sydney
Outline unavailable
Session MoA ?  Location Outline ? 
Semester 2 2020
Normal day Camperdown/Darlington, Sydney
Semester 1 2021
Normal day Camperdown/Darlington, Sydney
Semester 1 2021
Normal day Remote
Semester 1 2022
Normal day Camperdown/Darlington, Sydney
Semester 1 2022
Normal day Remote
Semester 1 2023
Normal day Camperdown/Darlington, Sydney
Semester 1 2023
Normal day Remote

Modes of attendance (MoA)

This refers to the Mode of attendance (MoA) for the unit as it appears when you’re selecting your units in Sydney Student. Find more information about modes of attendance on our website.