Information Package / Course Catalogue
Financial Econometrics
Course Code: EK302
Course Type: Required
Couse Group: First Cycle (Bachelor's Degree)
Education Language: Turkish
Work Placement: N/A
Theory: 3
Prt.: 0
Credit: 3
Lab: 0
ECTS: 5
Objectives of the Course

The main aim of this course is to provide students with advanced econometric techniques required for econometric models; more specifically the aim is to provide the necessary skills needed for understanding econometric papers in the econometric modelling literature, to make students appreciate the importance of combining theory and data as well as to equip students with the good skills to conduct their own analyses. Topics include :models of seasonality, models of structural breaks, models of business cycle and models of financial markets.

Course Content

Financial time series, random walk, GARCH models, CAMP models

Name of Lecturer(s)
Assoc. Prof. Tuğba AKIN
Learning Outcomes
1.Can do econometric analysis about financial markets
2.Can do analysis with data
3.Have econometric knowledge
4.Have information about stock exhange
5.Knows financial markets
Recommended or Required Reading
1.Introductory Econometrics for Finance, Brooks, C. 2nd ed., Cambridge Univ. Press, 2008.
2.Applied Econometric Time Series, Enders, W., John Wiley and Sons,Inc., 2005.
3.The Econometrics of Financial Markets, Campbell, Lo ve MacKinlay, Princeton Univ. Press, 2005.
Weekly Detailed Course Contents
Week 1 - Theoretical
A short rewiev to financial time series
Week 2 - Theoretical
Random walk, efficient market hyphotesis
Week 3 - Theoretical
Introduction to models
Week 4 - Theoretical
AR, MA, ARMA and GARCH models
Week 5 - Theoretical
ARCH models
Week 6 - Practice
Ampryical lesson
Week 7 - Theoretical
GARCH models
Week 8 - Theoretical
GARCH models
Week 9 - Theoretical
GARCH models
Week 10 - Practice
Asymetric models
Week 11 - Theoretical
Asymetry
Week 12 - Theoretical
EGARCH and GRJ models
Week 13 - Theoretical
APARCH and TARCH models
Week 14 - Practice
Ampryical lesson
Assessment Methods and Criteria
Type of AssessmentCountPercent
Midterm Examination1%30
Final Examination1%50
Practice1%20
Workload Calculation
ActivitiesCountPreparationTimeTotal Work Load (hours)
Lecture - Theory143384
Individual Work34115
Midterm Examination112113
Final Examination112113
TOTAL WORKLOAD (hours)125
Contribution of Learning Outcomes to Programme Outcomes
PÇ-1
PÇ-2
PÇ-3
PÇ-4
PÇ-5
PÇ-6
PÇ-7
PÇ-8
PÇ-9
OÇ-1
4
3
3
3
3
4
4
4
4
OÇ-2
3
3
2
5
2
4
4
4
4
OÇ-3
3
3
3
3
3
3
3
3
3
OÇ-4
3
3
3
4
4
2
2
2
2
OÇ-5
4
2
5
2
2
3
3
3
3
Adnan Menderes University - Information Package / Course Catalogue
2026