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COURSE INFORMATION
Course CodeCourse TitleL+P HourSemesterECTS
EKNM 408FINANCIAL ECONOMETRICS3 + 08th Semester5

COURSE DESCRIPTION
Course Level Bachelor's Degree
Course Type Elective
Course Objective The aim of this lecture is to introduce financial econometrics issuses.
Course Content Financial Series, Unit root, Cointegration, Volatility Modelling, Volatility Spillover
Prerequisites No the prerequisite of lesson.
Corequisite No the corequisite of lesson.
Mode of Delivery Face to Face

COURSE LEARNING OUTCOMES
1Understanding the properties of financial series
2Application of financial econometrics methods
3Modelling Volatility
4Modelling Volatility Spillover

COURSE'S CONTRIBUTION TO PROGRAM
PO 01PO 02PO 03PO 04PO 05PO 06PO 07PO 08PO 09PO 10PO 11
LO 0013333 33333 
LO 002 333 33333 
LO 003 333 33333 
LO 004 333 33333 
Sub Total3121212 1212121212 
Contribution13330333330

ECTS ALLOCATED BASED ON STUDENT WORKLOAD BY THE COURSE DESCRIPTION
ActivitiesQuantityDuration (Hour)Total Work Load (Hour)
Course Duration (14 weeks/theoric+practical)14342
Hours for off-the-classroom study (Pre-study, practice)14456
Mid-terms11515
Final examination11717
Total Work Load

ECTS Credit of the Course






130

5
COURSE DETAILS
 Select Year   


 Course TermNoInstructors
Details 2017-2018 Spring1DÜNDAR KÖK


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Course Details
Course Code Course Title L+P Hour Course Code Language Of Instruction Course Semester
EKNM 408 FINANCIAL ECONOMETRICS 3 + 0 1 Turkish 2017-2018 Spring
Course Coordinator  E-Mail  Phone Number  Course Location Attendance
Prof. Dr. DÜNDAR KÖK dkok@pau.edu.tr İİBF C0012 %80
Goals The aim of this lecture is to introduce financial econometrics issuses.
Content Financial Series, Unit root, Cointegration, Volatility Modelling, Volatility Spillover
Topics
WeeksTopics
1 General information about financial markets: recognition of investment environment ...
2 Fundamental Factors in the Value of Financial Assets: Theory of Interest, Time Value of Money
3 Valuation of Financial Assets: Stocks and Bond Valuation
4 Portfolio Theory: Risk and Return
5 Asset Pricing Models: Capital Assets Pricing Model (CAPM)
6 Asset Pricing Models: Arbitrage Pricing Model (APM)
7 Assumptions of the Classical Linear Regression Model: Test Strategies for Assumptions
8 Time Series Analysis for Single Variable: AR, MA, ARMA Processes
9 Stationary in Time Series
10 Forecasting Procedure in Time Series and Efficiency Forms in Financial Markets: Efficient Market Hypothesis (Random Walk)
11 Autoregressive Conditional Variance Models: Single Variable ARCH-GARCH Models
12 Autoregressive Conditional Variance Models: Multivariable Variable ARCH-GARCH Models
13 Examples on BIST and World Stock Indexes
14 Examples on BIST and World Stock Indexes
Materials
Materials are not specified.
Resources
ResourcesResources Language
1.Intraductory Econometrics for Finance, Chris Brooks, Cambridge Unv. Press, 3rd. Ed. Türkçe
2. Koray KAYALIDERE, Volatilite Tahmin Modelleri ve Performanslarının Ölçümü, Gazi Kitabevi, AnkaraTürkçe
Course Assessment
Assesment MethodsPercentage (%)Assesment Methods Title
Final Exam60Final Exam
Midterm Exam40Midterm Exam
L+P: Lecture and Practice
PQ: Program Learning Outcomes
LO: Course Learning Outcomes