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 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

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 Combines and applies the knowledge of their undergraduate field with business administration knowledge. X
2 Acquires knowledge about the structure and functioning of the financial system and each financial institution. X
3 Possesses knowledge of regulations and legislation related to financial institutions. X
4 Identifies the risks faced by different financial institutions and acquires the ability to develop basic solutions. X
5 Acquires knowledge of basic investment strategies. X
6 Gains knowledge of research methods and techniques and applies them. X
7 Acquires knowledge about the institutional characteristics of emerging and developed markets, as well as investment strategies for bonds, stocks, and derivative products in these markets. X
8 Acquires knowledge about the fundamentals, processes, and contributions of capital and securities markets to the financial system. X
9 Conveys business-related information using effective verbal, written, and visual communication methods. X
10 Develops awareness of professional ethics, environmental sensitivity, sustainability, social responsibility, and cultural, social, and universal values. X
11 Works effectively with different disciplines or multicultural teams, takes responsibility, conducts risk analysis, adapts to change, thinks critically, and takes initiative in problem-solving.
12 Conducts the necessary literature review, identifies the research problem, develops hypotheses, designs the research, reaches conclusions using qualitative and quantitative methods, and as a result, possesses the ability to produce academic publications. X

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