Financial Econometrics(EC 506)
| Course Code | Course Name | Semester | Theory | Practice | Lab | Credit | ECTS |
|---|---|---|---|---|---|---|---|
| EC 506 | Financial Econometrics | 1 | 3 | 0 | 0 | 3 | 6 |
| Prerequisites | |
| Admission Requirements |
| Language of Instruction | Turkish |
| Course Type | Compulsory |
| Course Level | Masters Degree |
| Course Instructor(s) | Zehra Yeşim GÜRBÜZ ygurbuz@gsu.edu.tr (Email) |
| Assistant | |
| Objective | Application of econometrics models on finance and modelization. |
| 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" |
Theory Topics
| 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 |
Practice Topics
| Week | Weekly Contents |
|---|
Contribution to Overall Grade
| Number | Contribution | |
|---|---|---|
| Contribution of in-term studies to overall grade | 1 | 40 |
| Contribution of final exam to overall grade | 1 | 60 |
| Toplam | 2 | 100 |
In-Term Studies
| 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 |
| Toplam | 1 | 40 |
| No | Program Learning Outcomes | Contribution | ||||
|---|---|---|---|---|---|---|
| 1 | 2 | 3 | 4 | 5 | ||
| 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 | ||