ECTS - Financial Econometrics
Financial Econometrics (FNCE518) Course Detail
| Course Name | Course Code | Season | Lecture Hours | Application Hours | Lab Hours | Credit | ECTS |
|---|---|---|---|---|---|---|---|
| Financial Econometrics | FNCE518 | 3 | 0 | 0 | 3 | 5 |
| Pre-requisite Course(s) |
|---|
| - |
| Course Language | Turkish |
|---|---|
| Course Type | N/A |
| Course Level | Social Sciences Master's Degree |
| Mode of Delivery | Face To Face |
| Learning and Teaching Strategies | Lecture, Discussion, Question and Answer. |
| Course Lecturer(s) |
|
| 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;
|
| 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 |
Sources
| Course Book | 1. Nilgün Çil Yavuz (2018). Finansal Ekonometri |
|---|---|
| 1. Nilgün Çil Yavuz (2018). Finansal Ekonometri | |
| 2. Svetlozar Rachev ve Teo Jasic (2007). Financial Econometrics: From Basics to Advanced Modeling Techniques | |
| 2. Svetlozar Rachev ve Teo Jasic (2007). Financial Econometrics: From Basics to Advanced Modeling Techniques | |
| 3. Cheng F Lee (2014). Handbook of Financial Econometrics and Statistics | |
| 3. 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 | 1 | 35 |
| Toplam | 3 | 95 |
| Percentage of Semester Work | |
|---|---|
| Percentage of Final Work | 100 |
| Total | 100 |
Course Category
| Core Courses | X |
|---|---|
| Major Area Courses | |
| 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 | To compare main microeconomic theories, approaches and make a critical evaluation of each | |||||
| 2 | To compare main macroeconomic theories, approaches and make a critical evaluation of each | |||||
| 3 | To apply mathematical modeling | |||||
| 4 | To employ statistical and econometric tools in analyzing an economic phenomena | |||||
| 5 | To analyze the main economic indicators and comment on them | |||||
| 6 | To acquire theoretical knowledge through literature survey and derive empirically confirmable hypothesis | |||||
| 7 | To make a research design and carry it out within predetermined time frames | |||||
| 8 | To be able to develop new approaches for complex problems in applied economics and/or apply statistical/econometric tools to new areas/problems | |||||
| 9 | To formulate and present policy recommendations based on academic research | |||||
| 10 | To combine economic knowledge with other disciplines in order to solve problems requiring scientific expertise | |||||
| 11 | To use information technology effectively | |||||
| 12 | To continue learning and undertake advanced research independently | |||||
ECTS/Workload Table
| Activities | Number | Duration (Hours) | Total Workload |
|---|---|---|---|
| Course Hours (Including Exam Week: 16 x Total Hours) | 16 | 3 | 48 |
| Laboratory | |||
| Application | |||
| Special Course Internship | |||
| Field Work | |||
| Study Hours Out of Class | 14 | 2 | 28 |
| Presentation/Seminar Prepration | |||
| Project | |||
| Report | |||
| 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 | ||