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) |
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N/A |
Course Language | Turkish |
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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) |
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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;
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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 |
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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 |
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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 | |
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Percentage of Final Work | 100 |
Total | 100 |
Course Category
Core Courses | |
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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 |