Unit convenor and teaching staff |
Unit convenor and teaching staff
Head of Department of Economics
John Romalis
Contact via john.romalis@mq.edu.au
Lecturer
Rerotlhe Brandon Basele
Contact via rerotlhebrandon.basele@mq.edu.au
Lecturer
Zac Reynolds
Contact via zac.reynolds@mq.edu.au
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Credit points |
Credit points
10
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Prerequisites |
Prerequisites
ECON2041 or STAT2372 or AFIN2070
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Corequisites |
Corequisites
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Co-badged status |
Co-badged status
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Unit description |
Unit description
This unit examines econometric techniques that are used in portfolio management, risk management and securities analysis. It provides students with the tools necessary for financial applications in these and other areas. Statistical techniques are developed in the context of particular financial applications. Recent empirical evidence is also discussed. |
Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
On successful completion of this unit, you will be able to:
Late Assessment Submission Penalty (written assessments)
Unless a Special Consideration request has been submitted and approved, a 5% penalty (of the total possible mark) will be applied each day if a written assessment is not submitted, up until the 7th day (including weekends). For example, for an assessment worth 30%, you receive a mark of 20/30 but your submission is late for 20 hours. With the late submission penalty applied, you will get a mark of18.5/30 (20-5%*30%).
After the 7th day, a grade of ‘0’ will be awarded even if the assessment is submitted. Submission time for all written assessments is set at 11.55pm. A 1-hour grace period is provided to students who experience a technical concern.
For any late submissions of time-sensitive tasks, such as scheduled tests/exams, performance assessments/presentations, and/or scheduled practical assessments/labs, students need to submit an application for Special Consideration.
Name | Weighting | Hurdle | Due |
---|---|---|---|
Skills Development: Data Analysis task | 30% | No | 20/10/2025 |
Skills Development: Financial Econometrics Quiz | 30% | No | Week 8 |
Formal and Observed Learning: Exam | 40% | No | Exam Period |
Assessment Type 1: Quantitative analysis task
Indicative Time on Task 2: 25 hours
Due: 20/10/2025
Weighting: 30%
The purpose of this task is to help you gain an appreciation for how financial econometrics is applied in practice. You will answer questions that require you to apply appropriate econometric tools to model and estimate economic and financial data.
Skills in focus:
Deliverable: Written submission.
This is an individual assessment.
Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 15 hours
Due: Week 8
Weighting: 30%
The purpose of this quiz is to assess your foundational concepts and skills in financial econometrics. You will be given a multiple choice quiz before the mid session break and receive feedback on your progress.
Skills in focus:
Deliverable: Quiz
This is an individual assessment.
Assessment Type 1: Examination
Indicative Time on Task 2: 30 hours
Due: Exam Period
Weighting: 40%
The purpose of this assessment is for you to demonstrate the expertise you have gained in this unit. You will participate in a 2-hour, on campus, closed-book exam held during the University Examination period. Important information about the exam will be made available on the unit iLearn page.
You should also review the MQ Exams website for general tips: https://students.mq.edu.au/study/assessment-exams/exams.
1 If you need help with your assignment, please contact:
2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation
Delivery
The intended delivery mode is as per the timetable: Publish. If this link does not work, enter: https://publish.mq.edu.au/ into your browser.
Resources
The prescribed textbook for the unit is:
Brooks, C. (2019) Introductory Econometrics for Finance, 4th Edition, Cambridge University Press. Hurn, S., Martin, V. L., Yu, J., and Phillips, P. C.B. (2020), Financial Econometric Modeling, Oxford University Press.
In addition to the textbook, the following references are useful but are not required.
Diebold, F. (2007) Elements of Forecasting, 4th Edition, South-Western College. Enders, W. (2014) Applied Econometric Time Series, 4th Edition, Wiley. Material such as lecture slides, examples, and tutorial questions will be available on the unit home page. The text and lecture notes, together with the lectures and additional references will provide students with a clear indication of the basic content of the unit.
It is recommended that students attend all lectures and tutorials for several reasons including:
Not all the material in the text is included in the unit, and not all the material in the unit is covered in the text. In some places the text deals with issues in greater depth than is necessary for the unit, and in other places it doesn’t go far enough. The lectures contain all the unit material taught at the level required for the assessment tasks, and are your guide to the unit content. The approaches to some problems that are recommended by the lecturer are different to those in the text. The lectures will include guidance about the style and content of the final exam and recommendation about study technique. It is difficult (and often impossible) for staff to provide meaningful assistance to students outside class times on topics for which they did not attend the relevant lectures and tutorials.
Technology Used and Required
Students are required to use a computer to carry out certain tasks of the course, such as tutorials and assignments. The software programs used in this course include EViews and Microsoft Excel.
Unit Web Page
Course material is available on the learning management system (iLearn), which can be found at: http://ilearn.mq.edu.au.
The list below is a proposed study plan, but this may be modified as we progress through the semester to allow us to take more or less time with different sections of the course as required.
Week No. |
Lecture Topic |
Tutorials |
1 |
Characteristics of Financial Data; Revision of Basic Mathematical and Statistical Concepts Textbook: Chapter 1 and Chapter 2, all sections; 4th or 3rd Edition. Lecture Notes. |
|
2 |
Correlation and Basic Regression Methods Textbook: Chapter 3, all sections, excluding the appendix; 4th or 3rd Edition. Lecture Notes. |
Tutorial Week 2 |
3 |
Multiple Linear Regression Model Textbook: 4th Edition Chapter 4, Sections 4.1 to 4.7 inclusive, Section 4.9. Lecture Notes; or Textbook: 3rd Edition Chapter 4, Sections 4.1 to 4.8 inclusive, Section 4.10. Lecture Notes. |
Tutorial Week 3 |
4 |
Regression Model Diagnostics Textbook: Chapter 5, all sections. Chapter 10, Sections 10.1 to 10.3 inclusive; 4th or 3rd Edition. Lecture Notes. |
Tutorial Week 4 |
5 |
Time Series Models Textbook: Chapter 6, Sections 6.1 to 6.5; 4th or 3rd Edition. Lecture Notes. |
Tutorial Week 5 |
6 |
Identification of Time Series Models Textbook: Chapter 6, Sections 6.1 to 6.5; 4th or 3rd Edition. Lecture Notes. |
Tutorial Week 6 |
7 |
Forecasting with Time Series Models Textbook: 4th Edition, Chapter 6, Sections 6.10. Lecture Notes; or Textbook: 3rd Edition, Chapter 6, Sections 6.11 and 6.12. Lecture Notes. |
Tutorial Week 7 |
8 |
Financial Econometrics Quiz |
Tutorial Week 8 |
|
Mid-session Break |
|
9 |
Modeling Volatility: Specification and Estimation of ARCH and GARCH Models Textbook: Chapter 9, Sections 9.1 to 9.4 inclusive, Sections 9.6 to 9.9 inclusive; 4th or 3rd Edition. Lecture Notes. |
Tutorial Week 9 |
10 |
Modeling Volatility (Extensions of GARCH Models) and Forecasting Volatility Textbook: 4th Edition, Chapter 9, Sections 9.10 to 9.18 inclusive, Lecture Notes; or Textbook: 3rd Edition, Chapter 9, Sections 9.10 to 9.19 inclusive, Lecture Notes. NOTE: Data Analysis Task assignment due Monday 20 October at 11:55pm (Sydney time). |
Tutorial Week 10 |
11 |
Data Analysis Task assignment due Monday 20 October at 11:55pm (Sydney time). Nonstationarity in Financial Time Series Textbook: 4th Edition, Chapter 8, Sections 8.1. Lecture Notes; or Textbook: 3rd Edition, Chapter 8, Sections 8.1 & 8.3. Lecture Notes |
Tutorial Week 11 |
12 |
Long-Run Relationships in Finance Textbook: 4th Edition, Chapter 8, Sections 8.3 to 8.6.1 inclusive. Lecture Notes; or Textbook: 3rd Edition, Chapter 8, Sections 8.3 to 8.7.1 inclusive. Lecture Notes. |
Tutorial Week 12 |
13 |
Revision |
Tutorial Week 13 |
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Unit information based on version 2025.02 of the Handbook