Financial Econometrics - ECON3206

Faculty: Australian School of Business

School: School of Economics

Course Outline: ECON3206 Course Outline

Campus: Sydney

Career: Undergraduate

Units of Credit: 6

EFTSL: 0.12500 (more info)

Indicative Contact Hours per Week: 3

Enrolment Requirements:

Prerequisite: ECON2209

CSS Contribution Charge: 3 (more info)

Tuition Fee: See Tuition Fee Schedule

Further Information: See Class Timetable

View course information for previous years.


This course is concerned with the special statistical characteristics that arise when modelling time series data, such as commodity prices, interest rate exchange rate data, that have been collected at high frequency (such as daily or hourly). Topics include: modelling time varying volatility (ARCH models), generalised method of moments estimators (GMM), and non-normality issues.
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