COURSE UNIT TITLE

Offered By

Master`s Degree in Financial Economics (Non-Thesis-Evening)

Level of Course Unit

Second Cycle Programmes (Master's Degree)

Course Coordinator

PROFESSOR DOCTOR SAADET KASMAN

Offered to

Master`s Degree in Financial Economics (Non-Thesis-Evening)

Course Objective

The objective of the course is to skills for dealing with univariate and multivariate time series modeling of economic and financial data. Stationary and nonstationary time series with unit roots, AR, MA, ARMA and ARIMA models, cointegration, error correction models, VAR and causality are the main topics to be covered. The use of computer is an integrated part of the course. Students are expected to prepare a term project to demonstrate their skills developed in the course.

Learning Outcomes of the Course Unit

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Recomended or Required Reading

1. Ruey S. Tsay Analysis of Financial Time Series, 2nd Ed. Willey, 2005
2. Lecture Notes

Planned Learning Activities and Teaching Methods

1. Lectures
2. Class Discussions
3. Term Project

Assessment Methods

Further Notes About Assessment Methods

None

Assessment Criteria

1. The learner will use necessary statistical and time series econometric tools to engage independent research.
2. The learner will clearly recognize the problems with existing econometric models.
3. The learner will build time series econometric models for estimation purposes.
4. The learner will interpret empirical results.
5. The learner will draw some policy implications from estimation results.

Language of Instruction

English

Course Policies and Rules

1. It is obligatory to attend at least 70% of the classes.

Contact Details for the Lecturer(s)

To be announced.

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Contribution of Learning Outcomes to Programme Outcomes