Financial Econometrics
Department of Economics
Faculty of Political Sciences
First Cycle (Bachelor's Degree)
| Course Unit Title | Course Unit Code | Type of Course Unit | Level of Course Unit | Year of Study | Semester | ECTS Credits |
|---|---|---|---|---|---|---|
| Financial Econometrics | ECO412 | Elective | Bachelor's degree | 4 | Spring | 4 |
Name of Lecturer(s)
Prof. Dr. Hasan Bülent KANTARCI
Prof. Dr. Selçuk KOÇ
Associate Prof. Dr. Erhan ORUÇ
Learning Outcomes of the Course Unit
1) Students can understand recent emprical literature in finance.
2) They may understand easily papers that are employed emprical approach.
3) Ability to set up model and apply it.
4) Ability to evaluate and criticize the findings.
Program Competencies-Learning Outcomes Relation
| Program Competencies | |||||||||||
| 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | ||
| Learning Outcomes | |||||||||||
| 1 | High | High | High | No relation | No relation | No relation | No relation | No relation | No relation | No relation | |
| 2 | High | High | High | No relation | No relation | No relation | No relation | No relation | No relation | No relation | |
| 3 | High | High | High | No relation | No relation | No relation | No relation | No relation | No relation | No relation | |
| 4 | High | High | High | No relation | No relation | No relation | No relation | No relation | No relation | No relation | |
Mode of Delivery
Face to Face
Prerequisites and Co-Requisites
None
Recommended Optional Programme Components
Econometrics I, Econometrics II, Time Series Analysis
Course Contents
Financial Econometrics combines the statistics and econometric techniques with financial economic theories. This course includes econometric tolls that empirical economists generally use for modeling with financial data. There are lots of empirical puzzle that classical econometric approaches may miss some conceptual effects of the finance theory that generally leads to puzzles in finance such as price puzzle etc. Many researchers try to find new techniques in order to solve this puzzle. Thus, a student who takes this course, will learn some econometric approach that she/he can use when she/he try to estimate model with financial data.
Weekly Schedule
1) Statistics Review: Data- Probability2) Revisiting the Classical Linear Regression - 1
3) Revisiting the Classical Linear Regression - 2
4) Cointegration and Granger Causality
5) Multivariate Time Series 1
6) Multivariate Time Series 2
7) Application of Multivariate Time Series in Finance
8) Midterm
9) Volatility: Introduction
10) Volatility: ARCH-Garch
11) VAR (Vector autoregreesive regression)
12) Structural VAR
13) Non-Linear Approach 1
14) Non-Linear Approach 2
15) Application of Non-Linear Approaches in Finance
16) Final Exam
Recommended or Required Reading
Planned Learning Activities and Teaching Methods
1) Lecture
2) Question-Answer
3) Discussion
Assessment Methods and Criteria
Contribution of Midterm Examination to Course Grade |
30% |
|---|---|
Contribution of Final Examination to Course Grade |
70% |
Total |
100% |
Language of Instruction
English
Work Placement(s)
Not Required