GAZI UNIVERSITY INFORMATION PACKAGE - 2019 ACADEMIC YEAR

COURSE DESCRIPTION
FINANCIAL EKONOMETRICS/8700003
Course Title: FINANCIAL EKONOMETRICS
Credits 3 ECTS 7.5
Semester 2 Compulsory/Elective Compulsory
COURSE INFO
 -- LANGUAGE OF INSTRUCTION
  Turkish
 -- NAME OF LECTURER(S)
  Assoc.Prof.Dr. Atilla GÖKÇE
 -- WEB SITE(S) OF LECTURER(S)
   www.gazi.edu.tr/~atilla
 -- EMAIL(S) OF LECTURER(S)
  atilla@gazi.edu.tr
 -- LEARNING OUTCOMES OF THE COURSE UNIT
Will be able to learn Introtuction,definications and Efficiency market hypothesis.
Will be able to learn Estimate of capital market returns and Present value.
Will be able to learn CAPM theory and applications.
Will be able to learn Difference equations and financial applications.
Will be able to learn Univariate linear sthocastic models: alternative approach
Will be able to learn Conditional Heteroscedastic Models, Introtuction and definications and ARCH models.
Will be able to learn GARCH, EGARCH models and applications.
Will be able to learn Volatility in financial markets and forecasting volatility.
Will be able to learn VAR and cointegration models with financial data.
Will be able to learn Actual applications with econometric softwares.
 -- MODE OF DELIVERY
  The mode of delivery of this course is Face to face
 -- PREREQUISITES AND CO-REQUISITES
  There is no prerequisite or co-requisite for this course.
 -- RECOMMENDED OPTIONAL PROGRAMME COMPONENTS
  Econometrics, time series analyisis
 --COURSE CONTENT
1. Week  Introtuction,definications and Efficiency market hypothesis
2. Week  Estimate of capital market returns and Present value
3. Week  CAPM theory and applications
4. Week  Difference equations and financial applications
5. Week  Univariate linear sthocastic models: alternative approach
6. Week  Conditional Heteroscedastic Models, Introtuction and definications and ARCH models
7. Week  ARCH model and financial applications
8. Week  Midterm
9. Week  GARCH, EGARCH models and applications
10. Week  Multivariate modelling in financial markets
11. Week  Volatility in financial markets and forecasting volatility
12. Week  VAR models with financial data
13. Week  Cointegration with financial data
14. Week  Actual applications with econometric softwares
15. Week  Exercise
16. Week  Final
 -- RECOMMENDED OR REQUIRED READING
  GOURIEROUX C., J. JASIAK (2001) Financial Econometrics. Princeton University Press. YAVUZ N. Ç. (2014) Finansal Ekonometri, Der Yayınları, İstanbul. FORNARİ, F. (2000) Stochastic volatility in financial markets. Kluwer Academic, Boston. MILLS, T.C. (1994) The Econometric modelling of financial time series. Cambridge Press. TSAY, T. (2002) Analysis of financial time series. J.Wiley-Interscience, New York.
 -- PLANNED LEARNING ACTIVITIES AND TEACHING METHODS
  Lecture, Question & Answer, Demonstration, Drill - Practise
 -- WORK PLACEMENT(S)
  no
 -- ASSESSMENT METHODS AND CRITERIA
 
Quantity
Percentage
 Mid-terms
1
40
 Assignment
1
10
 Exercises
0
0
 Projects
0
0
 Practice
0
0
 Quiz
0
0
 Contribution of In-term Studies to Overall Grade  
50
 Contribution of Final Examination to Overall Grade  
50
 -- WORKLOAD
 Efficiency  Total Week Count  Weekly Duration (in hour)  Total Workload in Semester
 Theoretical Study Hours of Course Per Week
13
3
39
 Practising Hours of Course Per Week
1
3
3
 Reading
13
2
26
 Searching in Internet and Library
14
3
42
 Designing and Applying Materials
0
 Preparing Reports
14
2
28
 Preparing Presentation
14
2
28
 Presentation
1
2
2
 Mid-Term and Studying for Mid-Term
0
 Final and Studying for Final
14
2
28
 Other
0
 TOTAL WORKLOAD: 
196
 TOTAL WORKLOAD / 25: 
7.84
 ECTS: 
7.5
 -- COURSE'S CONTRIBUTION TO PROGRAM
NO
 PROGRAM LEARNING OUTCOMES
1
2
3
4
5
1Having the professional expertise and skills on theoretical and practical aspect of econometrics.X
2Having appropriate behavior of econometricsin the field of social, scientific, cultural and ethical values, applicability of gained knowledge and skills in accordance with the principle of responsibility to social and working life.X
3Having skills about selecting, using and evaluating of appropriate econometrics and statistical programming methods, based on theoretical and practical knowledge acquired in the field related to the current problems faced by.X
4Having skills to work with the team for reach fruitful results in interdisciplinary and interdisciplinary studies.X
5Having knowledge of research methods in the field of institutions and organizations planning projects, managing in order to conduct independent research.X
6Using some of the advanced level econometrics and statistical software programs.X
7Having skills about information system related to the fields in working life.X
8Having qualities for analytical thinking, prospecting and bring scientific solutions to problems as a researcher.X
9Having skills to comprehension, application and evaluation about terms and basic theory of operational research.X
10Having the professional expertise and skills on theoretical and practical aspects of operational research.X