Financial Econometrics (MAN609) Course Detail

Course Name Course Code Season Lecture Hours Application Hours Lab Hours Credit ECTS
Financial Econometrics MAN609 3 0 0 3 5
Pre-requisite Course(s)
Course Language English
Course Type N/A
Course Level Ph.D.
Mode of Delivery Distance
Learning and Teaching Strategies Lecture, Discussion, Question and Answer.
Course Coordinator
Course Lecturer(s)
Course Assistants
Course Objectives This course introduces a comprehensive set of techniques used in financial econometrics and practical applications of these techniques. The course aims to create an econometric background that can help students to analyze a financial data set
Course Learning Outcomes The students who succeeded in this course;
  • To know the properties of financial time series data
  • To be able to do basic econometric analysis in finance
  • To use concepts, theories and assumptions of financial econometrics
  • To carry out empirical applications based on real financial data with using econometric techniques
Course Content The use of statistical techniques and econometric theory in the solution of financial problems, building financial models, estimation of volatility, capital asset pricing, portfolio allocation, risk adjusted returns.

Weekly Subjects and Releated Preparation Studies

Week Subjects Preparation
1 Finansal Ekonometri ve İstatistiğe Giriş Related chapters of the course book
2 Key Features of Financial Time Series Related chapters of the course book
3 Probability Distributions and Descriptive Statistics of Financial Variables Related chapters of the course book
4 Skotastik Süreçler ve Özellikleri Related chapters of the course book
5 Regression Analysis and Basic Estimation Methods Related chapters of the course book
6 Regression in Finance: Financial Asset Pricing Model (CAPM) Related chapters of the course book
7 Simple Regression - Multivariate Regression Related chapters of the course book
8 Midterm Exam
9 Hypothesis Testing and Confidence Intervals Related chapters of the course book
10 Dummy Independent Variable Models Related chapters of the course book
11 Linear Time Series Related chapters of the course book
12 Autoregressive (AR) Processes Related chapters of the course book
13 Unit Root and Stability Analysis in Financial Time Series Related chapters of the course book
14 Non-Stable Processes: Deterministic Trend and Stochastic Trend Related chapters of the course book
15 VAR Models and Granger Causality Analysis Related chapters of the course book
16 Fake Regression, Cointegration, Error Correction Models Related chapters of the course book
17 Sınav Öncesi Genel Tekrar
18 Final Exam


Course Book 1. Svetlozar Rachev ve Teo Jasic (2007). Financial Econometrics: From Basics to Advanced Modeling Techniques
2. Cheng F Lee (2014). Handbook of Financial Econometrics and Statistics

Evaluation System

Requirements Number Percentage of Grade
Attendance/Participation - -
Laboratory - -
Application - -
Field Work - -
Special Course Internship - -
Quizzes/Studio Critics - -
Homework Assignments 1 25
Presentation - -
Project - -
Report - -
Seminar - -
Midterms Exams/Midterms Jury 1 35
Final Exam/Final Jury - -
Toplam 2 60
Percentage of Semester Work
Percentage of Final Work 100
Total 100

Course Category

Core Courses
Major Area Courses X
Supportive Courses
Media and Managment Skills Courses
Transferable Skill Courses

The Relation Between Course Learning Competencies and Program Qualifications

# Program Qualifications / Competencies Level of Contribution
1 2 3 4 5
1 1. To have the ability to present a research problem, develop hypotheses, make research designs, reach conclusions by using qualitative/quantitative methods, and make academic publications by making the necessary literature review. X
2 2. To be aware of research ethics. X
3 3. To contribute to the process of becoming an information society by constantly following technological, social or cultural developments in the academic and professional context. X
4 4. To be able to look at the problems that arise in businesses both theoretically, conceptually and from the perspective of a researcher. X
5 5. To be able to use knowledge that requires expertise in analyzing, synthesizing and evaluating new and complex ideas by comprehending the interaction between various disciplines related to the field of business. X
6 6. To be able to produce solutions by developing new strategic approaches by thinking holistically and creatively in complex situations that are not foreseen to be encountered in applications in the field of business. X
7 7. To be able to master the basic concepts and methods in the field of general business administration. X
8 8. To be able to dominate the academic literature and international developments in the field of general business administration. X
9 9. To be able to transfer information about the business area by using effective verbal, written and visual communication methods. X
10 10. To be aware of professional ethics, environmental awareness, sustainability, social responsibility, cultural, social and universal values X
11 11. To be able to work effectively with different disciplines or multicultural teams, to take responsibility, to make risk analysis, to keep up with change, to think critically and to use initiative in problem solving

ECTS/Workload Table

Activities Number Duration (Hours) Total Workload
Course Hours (Including Exam Week: 16 x Total Hours) 16 3 48
Special Course Internship
Field Work
Study Hours Out of Class 14 2 28
Presentation/Seminar Prepration
Homework Assignments 1 15 15
Quizzes/Studio Critics
Prepration of Midterm Exams/Midterm Jury 1 15 15
Prepration of Final Exams/Final Jury 1 20 20
Total Workload 126