Information Package / Course Catalogue
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)
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 - Intermediate Exam
Midterm exam
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
Week 15 - Final Exam
Final exam
Assessment Methods and Criteria
Type of AssessmentCountPercent
Midterm Examination1%40
Final Examination1%60
Workload Calculation
ActivitiesCountPreparationTimeTotal Work Load (hours)
Lecture - Theory153390
Midterm Examination110212
Final Examination120222
TOTAL WORKLOAD (hours)124
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
Adnan Menderes University - Information Package / Course Catalogue