Information Package / Course Catalogue - Adnan Menderes University

General Information Unit Staff Academic Information Programme Outcomes Course Structure Diagram Contact Information

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Financial Econometrics

Course Code	: EKO539
Course Type	: Area Elective
Couse Group	: Second Cycle (Master's Degree)
Education Language	: Turkish
Work Placement	: None

Theory	: 3
Prt.	: 0
Credit	: 3
Lab	: 0
ECTS	: 5

Objectives of the Course

To teach the econometrical methods and technics used in finance literature

Course Content

Simple and Multiple Linear Regression Models, Long Memory Models, Unit Root Tests , Volatility Forecasting Models , Causality and Cointegration Tests, Logit and Probit Models and Markov Regime - Switching Model

Name of Lecturer(s)

Lec. Ahmet ÜNLÜ

Learning Outcomes

1.	Learns financial econometric methods
2.	Apply econometric models to financial phenomena
3.	Can make a statement about subjects, can define the terms
4.	Can make an interdisiplinary connection over the course subjects
5.	Can make an analysis about subjects and can comment on economy

Recommended or Required Reading

1.	Finansal Ekonometri, Nilgün Çil Yavuz, Der Yayınları

Weekly Detailed Course Contents

Week 1 - Theoretical

Introduction to Econometrics

Week 2 - Theoretical

Autocorrelation and Causes

Week 3 - Theoretical

Autocorrelation tests: DW-d, Durbin-h, Durbin Alternative Test

Week 4 - Theoretical

Autocorrelation Tests: LM Test, Berenblut Webb Test, Von-Neuman Test

Week 5 - Theoretical

Elimination of autocor- diction: Durbin Method in two stages, Hildrett-Lui Method

Week 6 - Theoretical

Multiple Linear Connection and Causes

Week 7 - Theoretical

Determination of Multiple Linear Connections: VIF, Conditional Index

Week 8 - Theoretical

Determination of Multiple Linear Connections: VIF, Conditional Index

Week 9 - Theoretical

Elimination of Multiple Linear Correlation

Week 10 - Theoretical

Changing Variance and Causes

Week 11 - Theoretical

Changing Variance Tests: Goldfeld and Quant Test

Week 12 - Theoretical

Changing Variance Tests: White Test, Glejser Test

Week 13 - Theoretical

ARCH Test

Week 14 - Theoretical

Elimination of Heteroscedasticity

Assessment Methods and Criteria

Type of Assessment	Count	Percent
Midterm Examination	1	%40
Final Examination	1	%60

Workload Calculation

Activities	Count	Preparation	Time	Total Work Load (hours)
Lecture - Theory	14	3	3	84
Midterm Examination	1	10	3	13
Final Examination	1	20	3	23
TOTAL WORKLOAD (hours)				120

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
OÇ-1	4	4	4	4	4	4	4	4	4	4	4	4	4
OÇ-2	4	4	4	4	4	4	4	4	4	4	4	4	4
OÇ-3	4	4	4	4	4	4	4	4	4	4	4	4	4
OÇ-4	4	4	4	4	4	4	4	4	4	4	4	4	4
OÇ-5	4	4	4	4	4	4	4	4	4	4	4	4	4

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