PAÜ .:. Eğitim Öğretim Bilgi Sistemi

COURSE INFORMATION

Course Code	Course Title	L+P Hour	Semester	ECTS
IMF 532	FINANCIAL TIME SERIES ANALYSIS APPLICATIONS	3 + 0	2nd Semester	7,5

COURSE DESCRIPTION

Course Level	Master's Degree
Course Type	Elective
Course Objective	This course, provided the most significant contribution, for students who want to do thesis work in the field of finance, especially financial data will be examined during the analysis phase of methodological solutions to the problems encountered in the process of modeling guidance.
Course Content	Provisions is given concrete examples of concepts via the econometric time series course, a time series econometric problems encountered can be overcome by what means knowledge gained.
Prerequisites	No the prerequisite of lesson.
Corequisite	No the corequisite of lesson.
Mode of Delivery	Face to Face

COURSE LEARNING OUTCOMES

1	Knows the statistical and econometric concepts
2	Knows properties of financial time series
3	Recognize the econometric problems of financial time series
4	Use one packet program at least
5	To explain a time series analysis can be reached at the end of the process of finding with financial arguments.

COURSE'S CONTRIBUTION TO PROGRAM

	PO 01	PO 02	PO 03	PO 04	PO 05	PO 06	PO 07
LO 001	5	5	5	2	5	3	3
LO 002	3	5	5	2	5	3	3
LO 003	3	5	5	2	5	3	3
LO 004	5	5	5	2	5	5	3
LO 005	3	5	5	2	5	5	3
Sub Total	19	25	25	10	25	19	15
Contribution	4	5	5	2	5	4	3

ECTS ALLOCATED BASED ON STUDENT WORKLOAD BY THE COURSE DESCRIPTION

Activities	Quantity	Duration (Hour)	Total Work Load (Hour)
Course Duration (14 weeks/theoric+practical)	14	3	42
Hours for off-the-classroom study (Pre-study, practice)	14	5	70
Assignments	2	25	50
Mid-terms	1	13	13
Final examination	1	20	20
Total Work Load ECTS Credit of the Course			195 7,5

COURSE DETAILS

Select Year

Course Details

Course Code	Course Title	L+P Hour	Course Code	Language Of Instruction	Course Semester
IMF 532	FINANCIAL TIME SERIES ANALYSIS APPLICATIONS	3 + 0	1	Turkish	2020-2021 Spring

Course Coordinator	E-Mail	Phone Number	Course Location	Attendance
Prof. Dr. DÜNDAR KÖK	dkok@pau.edu.tr		İİBF A0128	%

Goals		This course, provided the most significant contribution, for students who want to do thesis work in the field of finance, especially financial data will be examined during the analysis phase of methodological solutions to the problems encountered in the process of modeling guidance.
Content		Provisions is given concrete examples of concepts via the econometric time series course, a time series econometric problems encountered can be overcome by what means knowledge gained.

Topics

Weeks	Topics
1	Basic Concepts: Modeling and Analysis of Financial Data Problems encountered in the Data Type on the Basis
2	Distinguishing Features of Financial Time Series
3	Basic Statistics for the Analysis of Financial Time Series and Econometric Analysis Concepts and Strategies
4	Statistical Programs of Financial Time Series Methodology
5	Classical Linear Regression Model Assumptions and Diagnostic Tests
6	Univariate Time Series Modeling and Forecasting: ARMA Process
7	Multivariate Models:VAR Analysis
8	Midterm Exam
9	Finance Modeling of Long-Term Relationships: Unit Root and Cointegration Tests
10	Volatility Modellin and Corelation: ARCH-GARCH Models
11	Case study
12	Case study
13	Case study
14	Case study

Materials

Materials are not specified.

Resources

Resources	Resources Language
1. Chris Brooks, Intraductory Econometrics For Finance, 2nd Edition, Cambridge Unv.Press, 2008.	English
3. Ben Vogelvang, Econometrics –Theory and Applications with EViews, 2005.	English
4. Ercan UYGUR, Ekonometri-Yöntem ve Uygulama, İmaj Yayıncılık, Ankara, 2001.	Türkçe
Recep TARI, Ekonometri, Kocaeli Ünv. Yay., 2005	Türkçe

Course Assessment

Assesment Methods	Percentage (%)	Assesment Methods Title
Final Exam	50	Final Exam
Midterm Exam	50	Midterm Exam

L+P: Lecture and Practice
PQ: Program Learning Outcomes
LO: Course Learning Outcomes

Prospective Student