Information Package / Course Catalogue
Financial Econometrics
Course Code: ECN516
Course Type: Area Elective
Couse Group: Second Cycle (Master's Degree)
Education Language: Turkish
Work Placement: N/A
Theory: 3
Prt.: 0
Credit: 3
Lab: 0
ECTS: 5
Objectives of the Course

To teach student, who plan to research in finance and financial econometrics and macroeconomics, the theoretical structure of the basic econometric methods and techniques.

Course Content

Applications for high frequency data and nonlinear time series analysis...

Name of Lecturer(s)
Learning Outcomes
1.To be able to understand the structure and properties of high-frequency time
2.To be able to learn the basic information for the prediction of the volatility
3.To be able to interpret the obtained results
4.To be able to create estimation methods according to economic theory and finance theory
5.To be able to learn how to follow developments in literature and how to use
Recommended or Required Reading
1.Tsay, Ruey, Analysis Of Financial Time Series, John Wiley & Sons, 2010.
2.Brooks, Chris, Introductory Econometrics for Finance, Cambridge, 2008.
3.Alexander, Carol. (2008) Market Risk Analysis, Volume I: Quantitative Methods in Finance. Wiley
4.Alexander, Carol. Finance Theory, Instruments and Markets (PRMIA Publications, Illinois)
Weekly Detailed Course Contents
Week 1 - Theoretical & Practice
Programs for the analysis of the volatility and Class-utilized software: Eviews 7.2, Oxmetrics, Stata 12.
Week 2 - Theoretical & Practice
High-frequency time series and characteristics of financial time series, price movements in the financial markets.
Week 3 - Theoretical & Practice
Financial econometrics: Volatility modeling introduction, univariate time series and forecasting (basic concepts, moving averages approach, distributed lag models).
Week 4 - Theoretical & Practice
Financial and statistical distributions, ARMA modeling process, Box-Jenkins Approach, ARMA structure, correctional exponential models and application.
Week 5 - Theoretical & Practice
Volatility prediction approaches (different approaches to estimate the volatility of prices of financial instruments, delayed volatility models: GARCH.
Week 6 - Theoretical & Practice
Volatility measurement approaches: EGARCH, GJR, APARCH, IGARCH, Risk Metrics, FIGARCH, FIEGARCH, FIAPARCH, HYGARCH.
Week 7 - Theoretical & Practice
Volatility measurement approaches: EGARCH, GJR, APARCH, IGARCH, Risk Metrics, FIGARCH, FIEGARCH, FIAPARCH, HYGARCH.
Week 8 - Theoretical & Practice
Variance tests with breaks
Week 9 - Intermediate Exam
Midterm Examination
Week 10 - Theoretical & Practice
Nonlinearity in time series and new approaches: Threshold and transition artificial neural network approaches(non-linear time series tools for testing).
Week 11 - Theoretical & Practice
Markov Regime Switching Model.
Week 12 - Theoretical & Practice
Modeling approaches according to time variable parameter.
Week 13 - Theoretical & Practice
Applications for nonlinear time series: Threshold and transition prediction methods and artificial network
Week 14 - Theoretical & Practice
Applications for nonlinear time series, chaotic time series and chaos applications.
Week 15 - Theoretical & Practice
Applications for nonlinear time series, chaotic time series and chaos applications.
Week 16 - Final Exam
Final Examination
Assessment Methods and Criteria
Type of AssessmentCountPercent
Midterm Examination1%30
Final Examination1%70
Workload Calculation
ActivitiesCountPreparationTimeTotal Work Load (hours)
Lecture - Theory140114
Lecture - Practice140228
Individual Work140228
Midterm Examination123225
Final Examination128230
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
PÇ-10
PÇ-11
PÇ-12
PÇ-13
PÇ-14
PÇ-15
OÇ-1
2
4
2
3
4
3
4
OÇ-2
3
5
3
2
3
4
3
OÇ-3
2
3
3
3
4
3
4
OÇ-4
2
4
2
2
3
2
3
OÇ-5
3
3
2
3
2
3
2
Adnan Menderes University - Information Package / Course Catalogue
2026