Financial Econometrics (ECMT2130)


Over the last decade econometric modelling of financial data has become an important part of the operations of merchant banks and major trading houses and a vibrant area of employment for econometricians. This unit provides an introduction to some of the widely used econometric models for financial data and the procedures used to estimate them. Special emphasis is placed upon empirical work and applied analysis of real market data. Topics covered may include the statistical characteristics of financial data, the specification, estimation and testing of asset pricing models, the analysis of high frequency financial data, and the modelling of volatility in financial returns.

Our courses that offer this unit of study

Further unit of study information


1x2hr lecture/week, 1x1hr tutorial/week


2x assignments (2x20%) and 1x2hr Final exam (60%)

Faculty/department permission required?


Unit of study rules


ECMT2110 or ECMT2010 or ECMT1020



Study this unit outside a degree

Non-award/non-degree study

If you wish to undertake one or more units of study (subjects) for your own interest but not towards a degree, you may enrol in single units as a non-award student.

Cross-institutional study

If you are from another Australian tertiary institution you may be permitted to underake cross-institutional study in one or more units of study at the University of Sydney.