GAZI UNIVERSITY INFORMATION PACKAGE - 2019 ACADEMIC YEAR

COURSE DESCRIPTION
APPLICATION OF ECONOMETRIC MODELS IN THE FIELD OF FINANCE/1240045
Course Title: APPLICATION OF ECONOMETRIC MODELS IN THE FIELD OF FINANCE
Credits 3 ECTS 7.5
Semester 1 Compulsory/Elective Elective
COURSE INFO
 -- LANGUAGE OF INSTRUCTION
  Turkish
 -- NAME OF LECTURER(S)
  Prof.Dr. Nezir KÖSE
 -- WEB SITE(S) OF LECTURER(S)
  http://websitem.gazi.edu.tr/site/nezir
 -- EMAIL(S) OF LECTURER(S)
  nezir@gazi.edu.tr
 -- LEARNING OUTCOMES OF THE COURSE UNIT
End of the course the students can select the appropriate model for the financial time series, make an inference and do forecast with using econometri
 -- 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
  Time Series Analysis, Statistics and Econometrics
 --COURSE CONTENT
1. Week  Data Types and Basic Analysis of Financial data Descriptive Statistics Prices and Returns Distribution of Return, normal distribution, kurtosis and
2. Week  The Stationary and nonstationary Time series models
3. Week  Unit Root Tests
4. Week  Cointegration and Error correction Model
5. Week  Model selection of return series and forecasting
6. Week  Portfolio theory
7. Week  CAPM MOdel
8. Week  Term-structure models
9. Week  Risk and Volatility Mmodels
10. Week  ARCH Types Models_I
11. Week  ARCH Types Models_II
12. Week  Stochastic Volatility Model-I
13. Week  Stochastic Volatility Model-II
14. Week  Eviews prictices
15. Week  Eviews prictices
16. Week  Eviews prictices
 -- RECOMMENDED OR REQUIRED READING
  Brooks, Chris (2002) Introductory Econometrics for Finance, Cambridge University Press. Enders, W. (2004) Applied Econometric Time Series, Second Edition, Wiley.Hamilton, J. (1994). Time Series Analysis. Princeton University Press, Princeton, NJ Köse Nezir (1998) Stock, J.H. and M.W. Watson (2003). Introduction to Econometrics. Addison-Wesley. Tsay, R.S. (2005). Analysis of Financial Time Series, 2th Edition. John Wiley & Sons, New York. (main text, this book provides all data used in the book and they can be downloaded from http://gsbwww.uchicago.edu/fac/ruey.tsay/teaching/fts2/) Wang Peijie (2003) Financial Econometrics Methods and Models Routledge Taylor and Francis Group Yalçın Yeliz (2008) Türkiyede Finansal Serilerin Oynaklık Yapısı Basılmamaış doktora tezi Zivot, E. (2002). Lecture Notes on Applied Econometric Modeling in Finance.The web link is: http://faculty.washington.edu/ezivot/econ483/483notes.htm (undergraduate and graduate level)
 -- PLANNED LEARNING ACTIVITIES AND TEACHING METHODS
  Lecture, Question & Answer, Demonstration, Drill - Practise
 -- WORK PLACEMENT(S)
  Not Applicable
 -- ASSESSMENT METHODS AND CRITERIA
 
Quantity
Percentage
 Mid-terms
1
60
 Assignment
1
0
 Exercises
0
0
 Projects
0
0
 Practice
0
0
 Quiz
0
0
 Contribution of In-term Studies to Overall Grade  
60
 Contribution of Final Examination to Overall Grade  
40
 -- WORKLOAD
 Efficiency  Total Week Count  Weekly Duration (in hour)  Total Workload in Semester
 Theoretical Study Hours of Course Per Week
12
3
36
 Practising Hours of Course Per Week
2
3
6
 Reading
14
2
28
 Searching in Internet and Library
12
2
24
 Designing and Applying Materials
14
1
14
 Preparing Reports
12
2
24
 Preparing Presentation
12
2
24
 Presentation
1
3
3
 Mid-Term and Studying for Mid-Term
7
2
14
 Final and Studying for Final
7
2
14
 Other
0
 TOTAL WORKLOAD: 
187
 TOTAL WORKLOAD / 25: 
7.48
 ECTS: 
7.5
 -- COURSE'S CONTRIBUTION TO PROGRAM
NO
 PROGRAM LEARNING OUTCOMES
1
2
3
4
5
1Learns the fundamental principles and concepts of financial management
2Follows up to date academic papers and new trends in financial managementX
3Learns the functions and operations of national and international financial marketsX
4Gains the ability of analyzing and solving all sorts of possible financial problems that firms confront withX
5Learns the working capital management and management of short term liabilities and current assets
6Learns the financial instruments used in national and international markets. Understands the analysis and valuation of these instruments
7Knows the fundamental accounting principles and financial statement analysis
8Learns new financial instruments and derivatives market. Knows the valuation of financial derivatives
9Understands both fundamental teories and new academic works and makes comparative analysis of financial teoriesX
10Learns investment analysis and portfolio management
11Gains practical and teoretical financial information necessary for an entrepreneur to evaluate alternative investments, to make investment decision and management of the invested firm
12Deeply review the literature regarding the cost of capital, optimal capital structure and dividend policies
13Learns fundamental financial models and portfolio theories
14Understands the financial and econometric models to value stocks and bonds and apply these models to the financial instruments in the marketX