Financial Econometrics and Modeling (ECON419) | GSÜ

Content

Objective

To model the dynamic functioning of financial systems.

To analyse the processes of price formation and evolution in financial markets.

To introduce the methods of dynamic analysis required to study these phenomena.

Course Content

Dimension and space.

Information and knowledge.

Risk and uncertainty.

Systems theory.

Feedback systems.

Price formation and stochastic processes.

Linear and nonlinear processes.

The vector autoregressive (VAR) model.

Forecasting system outputs.

Course Learning Outcomes

Teaching and Learning Methods

theoretical and applications

Weekly Contents

Theory Topics
Week	Weekly Contents
1	Structure and Functioning of Financial Systems: Foundations of Dynamic Modelling
2	Dimension, State Space, and Time in Dynamical Systems
3	Information, Knowledge, Expectations, and Price Formation in Financial Markets
4	Risk, Uncertainty, and Stochastic Modelling of Financial Prices
5	Systems Theory and Feedback Mechanisms in Financial Systems
6	Linear Dynamical Systems: Equilibrium, Stability, and Dynamic Analysis
7	Nonlinear Dynamics: Chaos, Bifurcations, and Attractors
8	Financial Time Series: Stationarity, Dependence Structures, and Model Specification
9	Vector Autoregressive (VAR) Models: Theoretical Foundations, Estimation, and Diagnostic Testing
10	Dynamic Analysis of VAR Models: Granger Causality, Impulse Response Functions, and Variance Decomposition
11	Forecasting Financial System Outputs and Evaluating Forecast Performance
12	Complex Financial Systems: Leverage, Liquidity, Network Interconnections, and Systemic Risk
13	Modelling Financial Dynamics Using Statistical and Mathematical Software: Applications and Policy Analysis
14

Practice Topics
Week	Weekly Contents
11	Forecasting Financial System Outputs and Evaluating Forecast Performance
12	Complex Financial Systems: Leverage, Liquidity, Network Interconnections, and Systemic Risk
13	Modelling Financial Dynamics Using Statistical and Mathematical Software: Applications and Policy Analysis

Assessment System

Contribution to Overall Grade
Activities	Number	Contribution
Contribution of in-term studies to overall grade	2	40
Contribution of final exam to overall grade	1	60
Total	3	100

In-Term Studies
Activities	Number	Contribution
Assignments	0	0
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	0	0

Relation of Proficiency

No	Program Learning Outcomes	Contribution
No	Program Learning Outcomes	1	2	3	4	5
1	Demonstrate a basic knowledge of different economic theories and main discussions driving current theoretical approaches					X
2	Demonstrate ability to use basic qualitative and quantitative methods to asses different economic questions of applied fields					X
3	Show a sound understanding of current economic discussions and problems					X
4	Have an effective and clear communication in written and oral formats in different public and professional contexts.					X
5	Demonstrate basic knowledge of the world economic history and a sound knowledge of the Turkish economic history					X
7	Demonstrate knowledge of standard quantitative techniques and empirical models used in economics					X
8	Show ability to apply basic economic theory to an applied topic					X
9	Show a basic understanding of analytical methods, both theory- and model-based					X
10	Show ability to use economic concepts to discuss current economic issues					X
11	Reason logically and work analytically					X
12	Show awareness on social aspects of the economics in different applied and theoretical fields					X
13	Identify appropriate economic models to analyse problems					X
16	Show understanding of basic statistical and econometric concepts and ability to apply basic concepts to own empirical work					X
17	Demonstrate a sound knowledge of the current economic issues in Turkey and a general knowledge of the issues in the world economy					X