COURSE UNIT TITLE

: FINANCIAL ECONOMETRIC MODELS AND INTERPRETATION

DEGREE PROGRAMMES

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
IKT 6618 FINANCIAL ECONOMETRIC MODELS AND INTERPRETATION ELECTIVE 3 0 0 5

Offered By

Economics

Level of Course Unit

Third Cycle Programmes (Doctorate Degree)

Course Coordinator

PROFESSOR DOCTOR HAKAN KAHYAOĞLU

Offered to

Economics

Course Objective

To teach the theoretical background of Basic Econometric methods and techniques to be used by those who will research on Finance, Financial Econometrics and Macroeconomics and to enable them to make applications on this structure.

Learning Outcomes of the Course Unit

1   To be able to understand the structure and properties of high frequency time series.
2   To be able to learn the basic information about the estimation of volatility parameters
3   To be able to interpret the results obtained.
4   To be able to analyze with nonlinear time series.
5   To be able to learn how to follow the developments in the field and the programs that can be used in the analysis of nonlinear time series.

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description

Recomended or Required Reading

Manfred, Gilli, , Dietmar Maringer, and Enrico Schumann. Numerical Methods and Optimization in Finance. Academic Press, 2011
Ruppert, David. Statistics and Data Analysis for Financial Engineering. Use R! Springer, 2010.
Tsay, Ruey, Analysis Of Financial Time Series, John Wiley & Sons, 2010.
Brooks, Chris, Introductory Econometrics for Finance, Cambridge, 2008.
Yararlanılacak Ekonometrik Programlar
Eviews 7.2, Oxmetrics, Stata, R
Bu derste R programı kullanılacaktır.
Kitaplar
Laura, Chihara, and Tim Hesterberg. Mathematical Statistics with Resampling and R. Wiley, 2011.
Manfred, Gilli, , Dietmar Maringer, and Enrico Schumann. Numerical Methods and Optimization in Finance. Academic Press, 2011
Vasishth, Shravan and Michael Broe. The Foundations of Statistics: A Simulation-based Approach. Springer, 2010.
Muenchen, Robert A. and Joseph M. Hilbe. R for Stata Users. Statistics and Computing. Springer, 2010.

Planned Learning Activities and Teaching Methods

The method of the course is aimed at establishing the theoretical background that will enable the applications to be made, and it aims to ensure that the relevant literature is used in the researches to be made on financial economy or finance. For this reason, course applications will be based on practice using different econometric programs.

Assessment Methods

SORTING NUMBER SHORT CODE LONG CODE FORMULA
1 MTE MIDTERM EXAM
2 STT TERM WORK (SEMESTER)
3 FIN FINAL EXAM
4 FCG FINAL COURSE GRADE MTE * 0.20 + STT * 0.30 + FIN* 0.50
5 RST RESIT
6 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.20 + STT * 0.30 + RST* 0.50


*** Resit Exam is Not Administered in Institutions Where Resit is not Applicable.

Further Notes About Assessment Methods

None

Assessment Criteria

To be announced.

Language of Instruction

Turkish

Course Policies and Rules

will be annuoced in the class

Contact Details for the Lecturer(s)

To be announced.

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours)
TOTAL WORKLOAD (hours) 0

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7PO.8PO.9
LO.155
LO.2555555
LO.3555
LO.45555
LO.5555

CONTACT INFORMATION
Dokuz Eylül Üniversitesi Cumhuriyet Bulvarı No: 144 35210 Alsancak / İZMİR
Phone: +90(232) 412 12 12 - Fax: +90 (232) 464 81 35

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