COURSE SYLLABUS

FINANCIAL ECONOMETRICS

1	Course Title:	FINANCIAL ECONOMETRICS
2	Course Code:	EKO4117
3	Type of Course:	Optional
4	Level of Course:	First Cycle
5	Year of Study:	4
6	Semester:	7
7	ECTS Credits Allocated:	5
8	Theoretical (hour/week):	3
9	Practice (hour/week) :	0
10	Laboratory (hour/week) :	0
11	Prerequisites:
12	Recommended optional programme components:	None
13	Language:	Turkish
14	Mode of Delivery:	Face to face
15	Course Coordinator:	Prof. Dr. Kadir Yasin Eryiğit
16	Course Lecturers:
17	Contactinformation of the Course Coordinator:	mcinar@uludag.edu.tr Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Görükle Kampüsü 16059 Nilüfer / Bursa
18	Website:
19	Objective of the Course:	This course aims to give techniques of financial econometrics and shows practical applications of these techniques. Statistics and econometrics background really helps to understand this course. But this is not prerequisity. Basic aim is to define financial relations with mathematical models and identify them using econometric models with econometric techniques. Owing to these econometric models, comment financial relations parametically wirh econometric techniques.
20	Contribution of the Course to Professional Development

Learning Outcomes:

1	To be able to define characteristics of financial datas;
2	To be able to use especially econometric methods for financial data analyzes.;
3	To be able to compare econometric and statistical analyzes with financial happenings.;
4	To be able to planning and programing financial happening deals with econometric and statistical settlement.;
5	To be able to use econometric models for forecasting future about financial series.;
6	To be able to follow financial events happens in our country and around the world easily;
7	To be able to analyze not also impulse-response with parameters estimate for national financial market structure.;
8	To be able to comment the fluctuations in financial markets with econometric ;

22	Course Content:

Week	Theoretical	Practical
1	Review Basic Structures of Probability and Statistic
2	Univariate Time Series Models and Forecasting
3	Multivariate Time Series Models: Vector Autoregressive Models (VAR)
4	Multivariate Time Series Models: Vector Autoregressive Models (VAR)
5	Modelling Long Term Relations in Finance: Cointegration and VECM Models
6	Volatility Models: ARCH and GARCH
7	Long Memory Models I: ARFIMA
8	Long Memory Models II: ARFIMA
9	Significant Market Concept and Examine the Significance
10	Risk Reward Models, Calculate Portfolio Risk and Reward
11	Test of Significance of Portfolio, Modelling Market Micro Structure
12	Capital Activate Price Models
13	Multivariate Factors Price Models
14	Financial Econometrics Applications

23	Textbooks, References and/or Other Materials:	1. Sevüktekin, M.ve M. Çınar, Ekonometrik Zaman Serileri Analizi: EViews Uygulamalı, Geliştirilmiş Dördüncü Baskı Bursa: Dora Yayın, 2014. 2. Gourieroux, C., and J. Jasiak, 2001. Financial Econometrics. Princeton University Press. 3. Campbell, Lo and MacKinlay,(1997), ”The Econometrıcs of Fınancıal Markets”, Princeton University Press. 4. Tsay R. S. (2002), Analysis of Financial Time Series, New York: John Wiley. 5. Mills T. C. (1999), The Econometric Modeling of Financial Time Series, Camprige: Camprige University Press
24	Assesment

TERM LEARNING ACTIVITIES	NUMBER	PERCENT
Midterm Exam	1	40
Quiz	0	0
Homeworks, Performances	0	0
Final Exam	1	60
Total	2	100
Contribution of Term (Year) Learning Activities to Success Grade		40
Contribution of Final Exam to Success Grade		60
Total		100
Measurement and Evaluation Techniques Used in the Course
Information

ECTS / WORK LOAD TABLE

CONTRIBUTION OF LEARNING OUTCOMES TO PROGRAMME QUALIFICATIONS

LO: Learning Objectives

PQ: Program Qualifications

Contribution Level:

1 Very Low

2 Low

3 Medium

4 High

5 Very High