| TYPE OF COURSE UNIT | Compulsory Course |
| LEVEL OF COURSE UNIT | Doctorate Of Science |
| YEAR OF STUDY | 1 |
| SEMESTER | First Term (Fall) |
| NUMBER OF ECTS CREDITS ALLOCATED | 15 |
| NAME OF LECTURER(S) | -
|
| LEARNING OUTCOMES OF THE COURSE UNIT |
At the end of this course, the students;
1) Understand advanced methods used in financial econometrics that are essential
2) Use the basic knowledge about data analysis and methods
3) Use regression models
4) Volatilite ve korelasyon modellemelerini örneklerle uygular.
5) Use ARCH, GARCH Models
6) Interpret financial issues by using financial econometric models
7) Interpret the results of financial econometric models to evaluate the numerical data concerning the financial markets
8) Read and undertsand the econometric literature in finance.
9) Write articles by using financial econometrics.
|
| MODE OF DELIVERY | Face to face |
| PRE-REQUISITES OF THE COURSE | No |
| RECOMMENDED OPTIONAL PROGRAMME COMPONENT | No |
| COURSE DEFINITION | This course aims to present the advanced methods that are used in financial econometrics. Data analysis, regression models, volatily and corelation modelling, ARCH, GARCH models are covered with their applications. By using these methods students can interpret developments in the financial sector. Also this module will be very important for students when writing their Phd thesis and for foolowing the relevant literatüre in the financial field. |
| COURSE CONTENTS | | WEEK | TOPICS |
|---|
| 1st Week | Introduction: Matrix Algebra | | 2nd Week | Continious Multi Variate Distrubutions | | 3rd Week | Multi Variate Normal Distrubution | | 4th Week | Multi Variate Hypothesis Testing | | 5th Week | Main Component Analysis | | 6th Week | Main Component Analysis | | 7th Week | Mid Term Exam | | 8th Week | Factor Analysis | | 9th Week | Factor Analysis | | 10th Week | Canonic Correlation | | 11th Week | Discriminant Analysis | | 12th Week | Logistic Regresion | | 13th Week | Clustering Analysis | | 14th Week | Clustering Analysis | | 15th Week | |
|
| RECOMENDED OR REQUIRED READING | 1. Applied Multivariate Statistical Analysis, Richard A. Johnson & Dean W. Wichern, 2002
2. An Introduction to Multivariate Statistical Analysis, Anderson, Theodore, W.
|
| PLANNED LEARNING ACTIVITIES AND TEACHING METHODS | Lecture,Discussion,Questions/Answers,Project,Presentation |
| ASSESSMENT METHODS AND CRITERIA | | | Quantity | Percentage(%) |
|---|
| Mid-term | 1 | 30 | | Project | 1 | 25 | | Attendance | 1 | 10 | | Total(%) | | 65 | | Contribution of In-term Studies to Overall Grade(%) | | 65 | | Contribution of Final Examination to Overall Grade(%) | | 35 | | Total(%) | | 100 |
|
| ECTS WORKLOAD |
| Activities |
Number |
Hours |
Workload |
| Midterm exam | | | | | Preparation for Quiz | | | | | Individual or group work | 14 | 20 | 280 | | Preparation for Final exam | 1 | 50 | 50 | | Course hours | 14 | 3 | 42 | | Preparation for Midterm exam | | | | | Laboratory (including preparation) | 14 | 3 | 42 | | Final exam | 1 | 3 | 3 | | Homework | 2 | 16 | 32 | | Total Workload | | | 449 |
|---|
| Total Workload / 30 | | | 14,96 |
|---|
| ECTS Credits of the Course | | | 15 |
|---|
|
| LANGUAGE OF INSTRUCTION | Turkish |
| WORK PLACEMENT(S) | No |
| | |
