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ISS 602E
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Course Information
Course Weekly Lecture Plan
Course Evaluation Criteria
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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