ECTS - Financial Econometrics
Financial Econometrics (ISL609) Course Detail
| Course Name | Course Code | Season | Lecture Hours | Application Hours | Lab Hours | Credit | ECTS |
|---|---|---|---|---|---|---|---|
| Financial Econometrics | ISL609 | Area Elective | 3 | 0 | 0 | 3 | 5 |
| Pre-requisite Course(s) |
|---|
| N/A |
| Course Language | Turkish |
|---|---|
| Course Type | Technical Elective Courses |
| Course Level | Ph.D. |
| 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 |
|---|---|
| 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 |
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 | 40 |
| Toplam | 3 | 100 |
| 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 have the ability to present a research problem, develop hypotheses, make research designs, reach conclusions by using qualitative/quantitative methods, and make academic publications by making the necessary literature review. | X | ||||
| 2 | 2. To be aware of research ethics. | X | ||||
| 3 | 3. To contribute to the process of becoming an information society by constantly following technological, social or cultural developments in the academic and professional context. | X | ||||
| 4 | 4. To be able to look at the problems that arise in businesses both theoretically, conceptually and from the perspective of a researcher. | X | ||||
| 5 | 5. To be able to use knowledge that requires expertise in analyzing, synthesizing and evaluating new and complex ideas by comprehending the interaction between various disciplines related to the field of business. | X | ||||
| 6 | 6. To be able to produce solutions by developing new strategic approaches by thinking holistically and creatively in complex situations that are not foreseen to be encountered in applications in the field of business. | X | ||||
| 7 | 7. To be able to master the basic concepts and methods in the field of general business administration. | X | ||||
| 8 | 8. To be able to dominate the academic literature and international developments in the field of general business administration. | 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 | |||||
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 | ||