COURSE INFORMATION PACKAGE · EC 506
Financial Econometrics
Compulsory · Turkish
On this page
Content Weekly Contents Assessment System ECTS
Course Instructor(s)
Zehra Yeşim GÜRBÜZ
ygurbuz@gsu.edu.tr
ygurbuz@gsu.edu.tr
Content
Objective
Application of econometrics models on finance and modelization.
Course Content
Linear Econometrics Models
Time series analysis
Structural breaks
ARCH_GARCH models
Course Learning Outcomes
Application of different econometrics models
Application on Stata
Teaching and Learning Methods
Theorical approach, analysis of various listings and application on computer.
References
Wooldrige, "Introduction to econometrics"
Weekly Contents
| Week | Weekly Contents |
|---|---|
| 1 | Introduction to financial econometrcis |
| 2 | OLS method in linear econometrics models |
| 3 | Gauss-Markov Teorem and tests of hpothesis: autocorrelation tests, test of equality of variances |
| 4 | Tests of hypothesis |
| 5 | Application STATA |
| 6 | Time series analysis: correlogram analysis, unit root tests |
| 7 | Application STATA |
| 8 | Presentation of students |
| 9 | Presentation of students |
| 10 | Structural breaks: modelization with dummy variables |
| 11 | Structural breaks: Chıw test, Cusum and Cusum-Square Tests |
| 12 | Application STATA |
| 13 | ARCH-GARCH models |
| 14 | Application STATA |
Assessment System
| Activities | Number | Contribution |
|---|---|---|
| Contribution of in-term studies to overall grade | 1 | 40 |
| Contribution of final exam to overall grade | 1 | 60 |
| Total | 2 | 100 |
| Activities | Number | Contribution |
|---|---|---|
| Assignments | 1 | 40 |
| Presentation | 0 | 0 |
| Midterm Examinations (including preparation) | 0 | 0 |
| Project | 0 | 0 |
| Laboratory | 0 | 0 |
| Other Applications | 0 | 0 |
| Quiz | 0 | 0 |
| Term Paper/ Project | 0 | 0 |
| Portfolio Study | 0 | 0 |
| Reports | 0 | 0 |
| Learning Diary | 0 | 0 |
| Thesis/ Project | 0 | 0 |
| Seminar | 0 | 0 |
| Other | 0 | 0 |
| Make-up | 0 | 0 |
| Total | 1 | 40 |
ECTS
| Activities | Number | Period | Total Workload |
|---|---|---|---|
| Class Hours | 14 | 3 | 42 |
| Working Hours out of Class | 10 | 3 | 30 |
| Assignments | 3 | 10 | 30 |
| Presentation | 1 | 5 | 5 |
| Midterm Examinations (including preparation) | 0 | 0 | 0 |
| Project | 0 | 0 | 0 |
| Laboratory | 0 | 0 | 0 |
| Other Applications | 4 | 3 | 12 |
| Final Examinations (including preparation) | 1 | 15 | 15 |
| Quiz | 0 | 0 | 0 |
| Term Paper/ Project | 0 | 0 | 0 |
| Portfolio Study | 0 | 0 | 0 |
| Reports | 0 | 0 | 0 |
| Learning Diary | 0 | 0 | 0 |
| Thesis/ Project | 0 | 0 | 0 |
| Seminar | 0 | 0 | 0 |
| Other | 1 | 5 | 5 |
| Make-up | 0 | 0 | 0 |
| Yıl Sonu | 0 | 0 | 0 |
| Hazırlık Yıl Sonu | 0 | 0 | 0 |
| Hazırlık Bütünleme | 0 | 0 | 0 |
| Total Workload | 139 | ||
| Total Workload / 25 | 5.56 | ||
| Credits ECTS | 6 | ||