Course Information

Course Name	Turkish	Finansal Ekonometri
	English	Financial Econometrics
Course Code	ISS 602E	Credit	Lecture (hour/week)	Recitation (hour/week)	Laboratory (hour/week)
Semester	-	3	3	-	-
Course Language		English
Course Coordinator		Kemal Burç Ülengin
Course Objectives		Course aims to 1.provide the students statistical and econometric techniques to analyze, model and forecast financial time series, 2.teach modeling the conditional mean, conditional variance and correlation of financial returns.
Course Description		Volatility and Correlation, Moving Average Models, Volatility Modeling, GARCH Models and Extensions, Forecasting Correlation and Volatility, Covariance Matrices, Principle Component Analysis, Orthogonal GARCH Model, Value at Risk-VaR, Modeling Non-Normal Returns, Time Series Models, Cointegration
Course Outcomes		Students who successfully pass this course gain knowledge, skills and competency such as: I-Ability to detect statistical properties of the financial time series II-Ability to model return of financial assets using time series models III-Ability to model variance-risk- of the financial assets IV-Ability to assess market risk and to study methods to value at risk V-Knowledge to design and estimate multivariate models and their applications VI-Knowledge to design and estimate multivariate conditional heteroscedastic models VII-Ability to model Markov Chain models
Pre-requisite(s)
Required Facilities
Other
Textbook		ANALYSIS OF FINANCIAL TIME SERIES, 3rdEd., (2010) R. S. TSAY John Wiley & Sons FINANCIAL ECONOMETRICS, MATHEMATICS AND STATISTICS THEORY, METHOD AND APPLICATION (2019) C.-F. LEE, H.-YI CHEN, J. LEE, Springer.
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