1. THIRD CYCLE - DOCTORATE DEGREE
  2. THE GRADUATE SCHOOL OF SOCIAL SCIENCES
  3. BUSINESS MANAGEMENT DEPARTMENT
  4. 2741 BUSINESS ADMINISTRATION PhD
Course Information Course Learning Outcomes Course's Contribution To Program ECTS Workload Course Details
Print

COURSE INFORMATION
Course CodeCourse TitleL+P HourSemesterECTS
ISY 656MODELLING AND ANALYSIS IN FINANCIAL ECONOMETRICS3 + 02nd Semester7,5

COURSE DESCRIPTION
Course Level Doctorate Degree
Course Type Elective
Course Objective TO PROMOTE THEORETICAL AND PRACTICAL TOOLS TO HELP MODELLING HIGH FREQUENCY AND STATISTICAL DATA ESPECIALLY IN THE FIELD OF FINANCE
Course Content VOLATILITY AND TRESHOLD MODELS IN TIME SERIES ECONOMETRICS, main difference in financial time series, ARCH and GARCH MOdels, One and Multi Equation Volatilite Models,
Prerequisites No the prerequisite of lesson.
Corequisite No the corequisite of lesson.
Mode of Delivery Face to Face

COURSE LEARNING OUTCOMES
1knows econometric concepts
2knows main difference in financial time series
3recognize properties of volatilite models
4knows how can solve induvidual equation volatil models
5knows how can solve multiple equation volatil models

COURSE'S CONTRIBUTION TO PROGRAM
PO 01PO 02PO 03PO 04PO 05PO 06PO 07
LO 001       
LO 002       
LO 003       
LO 004       
LO 005       
Sub Total       
Contribution0000000

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)14570
Assignments22550
Mid-terms11313
Final examination12020
Total Work Load

ECTS Credit of the Course





195

7,5
COURSE DETAILS
 Select Year   


 Course TermNoInstructors
Details 2023-2024 Spring1DÜNDAR KÖK
Details 2022-2023 Spring1UMUT UYAR
Details 2019-2020 Spring1DÜNDAR KÖK
Details 2018-2019 Spring1DÜNDAR KÖK
Details 2017-2018 Spring1DÜNDAR KÖK
Details 2016-2017 Spring1DÜNDAR KÖK


Print

Course Details
Course Code Course Title L+P Hour Course Code Language Of Instruction Course Semester
ISY 656 MODELLING AND ANALYSIS IN FINANCIAL ECONOMETRICS 3 + 0 1 Turkish 2023-2024 Spring
Course Coordinator  E-Mail  Phone Number  Course Location Attendance
Prof. Dr. DÜNDAR KÖK dkok@pau.edu.tr İİBF A0128 %80
Goals TO PROMOTE THEORETICAL AND PRACTICAL TOOLS TO HELP MODELLING HIGH FREQUENCY AND STATISTICAL DATA ESPECIALLY IN THE FIELD OF FINANCE
Content VOLATILITY AND TRESHOLD MODELS IN TIME SERIES ECONOMETRICS, main difference in financial time series, ARCH and GARCH MOdels, One and Multi Equation Volatilite Models,
Topics
WeeksTopics
1 Basic Concepts of Statistics and Econometrics
2 Basic Concepts of Statistics and Econometrics
3 Distinguishing Features of Financial Data
4 Financial Data Analysis Methodology in Statistical Programs
5 Financial Data Analysis Methodology in Statistical Programs
6 Financial Data Analysis Methodology in Statistical Programs
7 Financial Data Analysis Methodology in Statistical Programs
8 Midterm Exam
9 Case study
10 Case study
11 Case study
12 Case study
13 Case study
14 Case study
Materials
Materials are not specified.
Resources
ResourcesResources Language
2. Philip Hans Franses and Dick Van Dijk, Non-Linear Time Series Models in Empirical Finance, Cambridge University Press, 2nd Edition, USA, 2003English
1. Chris Brooks, Intraductory Econometrics For Finance, 2nd Edition, Cambridge Unv.Press, 2008.English
Course Assessment
Assesment MethodsPercentage (%)Assesment Methods Title
Final Exam50Final Exam
Midterm Exam50Midterm Exam
L+P: Lecture and Practice
PQ: Program Learning Outcomes
LO: Course Learning Outcomes