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COURSE INFORMATION
Course CodeCourse TitleL+P HourSemesterECTS
EKOM 540FINANCIAL ECONOMETRICS II3 + 02nd Semester7,5

COURSE DESCRIPTION
Course Level Master's Degree
Course Type Elective
Course Objective The main objective of the course is to explain how to make an applied financial econometrics study.
Course Content Week Subject 1 Characteristics of volatility, structure of model 2 ARCH model and its features 3 GARCH model and its features 4 Integrated GARCH model(IGARCH), GARCH-M model, Exponential GARCH model(EGARCH) 5 Long memory stochastic models, estimation of exponential-weighted 6 Some of GARCH models with multivariate variable, GARCH models for dual returns 7 High frequency GARCH models 8 Midterm 9 Weak stationary, cross-correlation matrices 10 Vector Autoregressive Models(VAR) 11 Granger Causality Test 12 Error Correction form 13 Cointegrated VAR model 14 ARDL approach to cointegration
Prerequisites No the prerequisite of lesson.
Corequisite No the corequisite of lesson.
Mode of Delivery Face to Face

COURSE LEARNING OUTCOMES
1To be able to explain main concepts used in financial econometrics
2To be able to explain concept of volatility
3To be able to explain concepts of ARCH and GARCH model
4To be able to introduce different types of ARCH/GARCH models
5To be able to use financial data in family of iARCH/GARCH implementation
6To be able to explain how to apply multivariate time series methods to financial data

COURSE'S CONTRIBUTION TO PROGRAM
PO 01PO 02PO 03PO 04PO 05PO 06PO 07PO 08PO 09PO 10PO 11PO 12
LO 001            
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Sub Total            
Contribution000000000000

ECTS ALLOCATED BASED ON STUDENT WORKLOAD BY THE COURSE DESCRIPTION
ActivitiesQuantityDuration (Hour)Total Work Load (Hour)
Course Duration (14 weeks/theoric+practical)14570
Hours for off-the-classroom study (Pre-study, practice)14570
Assignments11010
Mid-terms12020
Final examination12525
Total Work Load

ECTS Credit of the Course






195

7,5
COURSE DETAILS
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L+P: Lecture and Practice
PQ: Program Learning Outcomes
LO: Course Learning Outcomes