Course Description
| Course | Code | Semester | T+P (Hour) | Credit | ECTS |
|---|---|---|---|---|---|
| FINANCIAL ECONOMETRICS | - | Spring Semester | 3+0 | 3 | 8 |
| Course Program |
| Prerequisites Courses | |
| Recommended Elective Courses |
| Language of Course | Turkish |
| Course Level | Third Cycle (Doctorate Degree) |
| Course Type | Required |
| Course Coordinator | Assist.Prof. Mutlu GÜRSOY |
| Name of Lecturer(s) | Assist.Prof. Mutlu GÜRSOY |
| Assistant(s) | |
| Aim | The course focuses on the main econometrics methods and techniques used in the analysis of issues related to finance. |
| Course Content | This course contains; 1) Stochastic processes and financial data generating processes,2) Regression Analysis: Theory and Estimation,3) Selected Topics in Regression Analysis,4) Regression Applications in Finance,5) Modeling Univariate Time Series,6) Approaches to ARIMA Modeling and Forecasting,7) Autoregressive Conditional Heteroskedastic Models Midterm,8) Vector Autoregressive Models,9) Cointegration and State Space Models,10)Robust Estimation,11)Panel Data,12)Simulation Methods,13)Data Mining in Finance,14)Conducting empirical research / doing a project / dissertation in finance. |
| Dersin Öğrenme Kazanımları | Teaching Methods | Assessment Methods |
| 1. Explains the importance of stochastic processes in financial econometrics | 10, 16, 9 | A, E |
| 2. Applies Regression Analysis | 10, 16, 9 | A, E |
| 3. Applies Autoregressive Models | 10, 16, 9 | A, E |
| 4. Applies Cointegration and State Space Models | 10, 16, 9 | A, E |
| 5. Explains asset pricing models | 10, 16, 9 | A, E |
| Teaching Methods: | 10: Discussion Method, 16: Question - Answer Technique, 9: Lecture Method |
| Assessment Methods: | A: Traditional Written Exam, E: Homework |
Course Outline
| Order | Subjects | Preliminary Work |
|---|---|---|
| 1 | 1) Stochastic processes and financial data generating processes | Examination of academic studies on the subject. |
| 2 | 2) Regression Analysis: Theory and Estimation | Examination of academic studies on the subject. |
| 3 | 3) Selected Topics in Regression Analysis | Examination of academic studies on the subject. |
| 4 | 4) Regression Applications in Finance | Examination of academic studies on the subject. |
| 5 | 5) Modeling Univariate Time Series | Examination of academic studies on the subject. |
| 6 | 6) Approaches to ARIMA Modeling and Forecasting | Examination of academic studies on the subject. |
| 7 | 7) Autoregressive Conditional Heteroskedastic Models Midterm | Examination of academic studies on the subject. |
| 8 | 8) Vector Autoregressive Models | Examination of academic studies on the subject. |
| 9 | 9) Cointegration and State Space Models | Examination of academic studies on the subject. |
| 10 | 10)Robust Estimation | Examination of academic studies on the subject. |
| 11 | 11)Panel Data | Examination of academic studies on the subject. |
| 12 | 12)Simulation Methods | Examination of academic studies on the subject. |
| 13 | 13)Data Mining in Finance | Examination of academic studies on the subject. |
| 14 | 14)Conducting empirical research / doing a project / dissertation in finance | Examination of academic studies on the subject. |
| Resources |
| Lecture Notes |
| Campbell, J.Y., Lo, A.W., McKinlay, A.C., The Econometrics of Financial Markets, Princeton University Press, 1997 Rachev, S.T., Et al, Financial Econometrics: From Basic to Advanced Modeling Techniques, John Wiley&Sons, 2007 Wang, Peijie, Financial Econometrics, Second Edition, Routledge, 2009 Tsay, R.S., Analysis of Financial Time Series, Third Edition, Wiley, 2010 |
Course Contribution to Program Qualifications
| Course Contribution to Program Qualifications | |||||||
| No | Program Qualification | Contribution Level | |||||
| 1 | 2 | 3 | 4 | 5 | |||
| 1 | Will be able to have advanced theoretical and practical knowledge supported by textbooks, application tools and other resources containing current information in the field. | X | |||||
| 2 | With the current developments in the banking and finance sector, it acquires information about basic resources, current trends and approaches. | ||||||
| 3 | Reaches, evaluates and uses scientific information in the field of Banking and Finance and uses it in solving problems. | X | |||||
| 4 | It carries out a work that requires expertise in the field of Banking and Finance and related disciplines independently and produces solutions. | X | |||||
| 5 | Acquires the necessary theoretical background to understand and solve banking and finance problems and make theoretical contributions. | ||||||
| 6 | Analyze and synthesize financial and economic data. Presents, discusses and defends data both in writing and orally, both in academic and business life. | ||||||
| 7 | Gains detailed information on the global aspects of financial markets and their connections with international relations, and at the level of contributing to the existing information. | ||||||
| 8 | Evaluates the role and importance of social, regulatory and political factors for the banking and financial sector, both practically and theoretically. | X | |||||
Assessment Methods
| Contribution Level | Absolute Evaluation | |
| Rate of Midterm Exam to Success | 50 | |
| Rate of Final Exam to Success | 50 | |
| Total | 100 | |
| ECTS / Workload Table | ||||||
| Activities | Number of | Duration(Hour) | Total Workload(Hour) | |||
| Course Hours | 14 | 3 | 42 | |||
| Guided Problem Solving | 5 | 4 | 20 | |||
| Resolution of Homework Problems and Submission as a Report | 4 | 15 | 60 | |||
| Term Project | 0 | 0 | 0 | |||
| Presentation of Project / Seminar | 1 | 30 | 30 | |||
| Quiz | 1 | 20 | 20 | |||
| Midterm Exam | 1 | 25 | 25 | |||
| General Exam | 1 | 35 | 35 | |||
| Performance Task, Maintenance Plan | 0 | 0 | 0 | |||
| Total Workload(Hour) | 232 | |||||
| Dersin AKTS Kredisi = Toplam İş Yükü (Saat)/30*=(232/30) | 8 | |||||
| ECTS of the course: 30 hours of work is counted as 1 ECTS credit. | ||||||
Detail Informations of the Course
Course Description
| Course | Code | Semester | T+P (Hour) | Credit | ECTS |
|---|---|---|---|---|---|
| FINANCIAL ECONOMETRICS | - | Spring Semester | 3+0 | 3 | 8 |
| Course Program |
| Prerequisites Courses | |
| Recommended Elective Courses |
| Language of Course | Turkish |
| Course Level | Third Cycle (Doctorate Degree) |
| Course Type | Required |
| Course Coordinator | Assist.Prof. Mutlu GÜRSOY |
| Name of Lecturer(s) | Assist.Prof. Mutlu GÜRSOY |
| Assistant(s) | |
| Aim | The course focuses on the main econometrics methods and techniques used in the analysis of issues related to finance. |
| Course Content | This course contains; 1) Stochastic processes and financial data generating processes,2) Regression Analysis: Theory and Estimation,3) Selected Topics in Regression Analysis,4) Regression Applications in Finance,5) Modeling Univariate Time Series,6) Approaches to ARIMA Modeling and Forecasting,7) Autoregressive Conditional Heteroskedastic Models Midterm,8) Vector Autoregressive Models,9) Cointegration and State Space Models,10)Robust Estimation,11)Panel Data,12)Simulation Methods,13)Data Mining in Finance,14)Conducting empirical research / doing a project / dissertation in finance. |
| Dersin Öğrenme Kazanımları | Teaching Methods | Assessment Methods |
| 1. Explains the importance of stochastic processes in financial econometrics | 10, 16, 9 | A, E |
| 2. Applies Regression Analysis | 10, 16, 9 | A, E |
| 3. Applies Autoregressive Models | 10, 16, 9 | A, E |
| 4. Applies Cointegration and State Space Models | 10, 16, 9 | A, E |
| 5. Explains asset pricing models | 10, 16, 9 | A, E |
| Teaching Methods: | 10: Discussion Method, 16: Question - Answer Technique, 9: Lecture Method |
| Assessment Methods: | A: Traditional Written Exam, E: Homework |
Course Outline
| Order | Subjects | Preliminary Work |
|---|---|---|
| 1 | 1) Stochastic processes and financial data generating processes | Examination of academic studies on the subject. |
| 2 | 2) Regression Analysis: Theory and Estimation | Examination of academic studies on the subject. |
| 3 | 3) Selected Topics in Regression Analysis | Examination of academic studies on the subject. |
| 4 | 4) Regression Applications in Finance | Examination of academic studies on the subject. |
| 5 | 5) Modeling Univariate Time Series | Examination of academic studies on the subject. |
| 6 | 6) Approaches to ARIMA Modeling and Forecasting | Examination of academic studies on the subject. |
| 7 | 7) Autoregressive Conditional Heteroskedastic Models Midterm | Examination of academic studies on the subject. |
| 8 | 8) Vector Autoregressive Models | Examination of academic studies on the subject. |
| 9 | 9) Cointegration and State Space Models | Examination of academic studies on the subject. |
| 10 | 10)Robust Estimation | Examination of academic studies on the subject. |
| 11 | 11)Panel Data | Examination of academic studies on the subject. |
| 12 | 12)Simulation Methods | Examination of academic studies on the subject. |
| 13 | 13)Data Mining in Finance | Examination of academic studies on the subject. |
| 14 | 14)Conducting empirical research / doing a project / dissertation in finance | Examination of academic studies on the subject. |
| Resources |
| Lecture Notes |
| Campbell, J.Y., Lo, A.W., McKinlay, A.C., The Econometrics of Financial Markets, Princeton University Press, 1997 Rachev, S.T., Et al, Financial Econometrics: From Basic to Advanced Modeling Techniques, John Wiley&Sons, 2007 Wang, Peijie, Financial Econometrics, Second Edition, Routledge, 2009 Tsay, R.S., Analysis of Financial Time Series, Third Edition, Wiley, 2010 |
Course Contribution to Program Qualifications
| Course Contribution to Program Qualifications | |||||||
| No | Program Qualification | Contribution Level | |||||
| 1 | 2 | 3 | 4 | 5 | |||
| 1 | Will be able to have advanced theoretical and practical knowledge supported by textbooks, application tools and other resources containing current information in the field. | X | |||||
| 2 | With the current developments in the banking and finance sector, it acquires information about basic resources, current trends and approaches. | ||||||
| 3 | Reaches, evaluates and uses scientific information in the field of Banking and Finance and uses it in solving problems. | X | |||||
| 4 | It carries out a work that requires expertise in the field of Banking and Finance and related disciplines independently and produces solutions. | X | |||||
| 5 | Acquires the necessary theoretical background to understand and solve banking and finance problems and make theoretical contributions. | ||||||
| 6 | Analyze and synthesize financial and economic data. Presents, discusses and defends data both in writing and orally, both in academic and business life. | ||||||
| 7 | Gains detailed information on the global aspects of financial markets and their connections with international relations, and at the level of contributing to the existing information. | ||||||
| 8 | Evaluates the role and importance of social, regulatory and political factors for the banking and financial sector, both practically and theoretically. | X | |||||
Assessment Methods
| Contribution Level | Absolute Evaluation | |
| Rate of Midterm Exam to Success | 50 | |
| Rate of Final Exam to Success | 50 | |
| Total | 100 | |