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 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 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 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
12 . 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