ECTS - Financial Econometrics
Financial Econometrics (FNCE518) Course Detail
| Course Name | Course Code | Season | Lecture Hours | Application Hours | Lab Hours | Credit | ECTS |
|---|---|---|---|---|---|---|---|
| Financial Econometrics | FNCE518 | General Elective | 3 | 0 | 0 | 3 | 5 |
| Pre-requisite Course(s) |
|---|
| N/A |
| Course Language | Turkish |
|---|---|
| Course Type | Technical Elective Courses |
| 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 | |
|---|---|
| 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 be able to combine and use the knowledge of their own undergraduate program area with the knowledge of business administration. | X | ||||
| 2 | 2. To have information about the structure and functioning of the financial system and each financial institution. | X | ||||
| 3 | 3. To have information about regulations and legislation related to financial institutions | X | ||||
| 4 | 4. To be able to see the risks that different financial institutions are exposed to and gain the ability to produce basic solutions. | X | ||||
| 5 | 5. To have knowledge about basic investment strategies. | X | ||||
| 6 | 6. Having knowledge about research methods and techniques and being able to use them. | X | ||||
| 7 | 7. To have information about the institutional characteristics of emerging and developed markets and investment strategies for bonds, stocks and derivatives in these markets. | X | ||||
| 8 | 8. To have the ability to reach scientific knowledge in the field of business, to monitor, evaluate and apply the current literature | 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 | 10. To be aware of professional ethics, environmental awareness, sustainability, social responsibility, cultural, social and universal values | X | ||||
| 12 | 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. | X | ||||
| 13 | 12. To have the ability to present a research problem, to develop hypotheses, to design research and to reach a conclusion by using qualitative/quantitative methods, by making the necessary literature review, and to have the ability to publish an academic publication as a result. | |||||
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 | ||