COURSE INFORMATION
Course Title: ADVANCED FINANCIAL ECONOMETRICS
Code Course Type Regular Semester Theory Practice Lab Credits ECTS
BAF 455 B 1 3 0 0 3 6
Academic staff member responsible for the design of the course syllabus (name, surname, academic title/scientific degree, email address and signature) NA
Lecturer (name, surname, academic title/scientific degree, email address and signature) and Office Hours: Uğur Ergün
Second Lecturer(s) (name, surname, academic title/scientific degree, email address and signature) and Office Hours: NA
Teaching Assistant(s) and Office Hours: NA
Language: English
Compulsory/Elective: Compulsory
Classroom and Meeting Time: Every Tuesday at 18:00 in lab 2
Course Description: BAF 455 - Advanced Financial Econometrics: This course aims to give broad knowledge of modern econometric techniques in the finance literature. It is designed to cover essential tools for working with financial data, including the return forecasting, volatility and econometrics of asset pricing, such as testing the market models. This course focuses on the empirical techniques which are mostly used in the analysis of financial markets and how they are applied to actual data.
Course Objectives: This course aims to give broad knowledge of modern econometric techniques in the finance literature. It is designed to cover essential tools for working with financial data, including the return forecasting, volatility and econometrics of asset pricing, such as testing the market models. This course focuses on the empirical techniques which are mostly used in the analysis of financial markets and how they are applied to actual data.
COURSE OUTLINE
Week Topics
1 Introduction
2 An Introduction to Linear Regression
3 Linear Regression Model
4 Interpreting and Comparing Regression Models
5 Heteroscedasticity and Autocorrelation
6 Endogeneity, Instrumental Variables and GMM
7 Maximum Likelihood Estimation and Specification Tests
8 Midterm Exam
9 Models with Limited Dependent Variables
10 Project Presentations
11 Project Presentations
12 Project Presentations
13 Project Presentations
14 Project Presentations
Prerequisite(s):
Textbook: 1. A Guide to Modern Econometrics, M. Verbeek, John Wiley & Sons 2. James H. Stock and Mark W. Watson. Introduction to Econometrics. Pearson. 3. Econometric Analysis. William H. Greene. Fifth edition, Pearson, 4. Analysis of Economic Data. Gary Koop, Second Edition. John Wiley & Sons. 5. Applied Econometrics with Eviews Applications. Ergun, Ugur and Goksu, Ali. IBU Publications
Other References:
Laboratory Work:
Computer Usage: Eviews software program
Others: No
COURSE LEARNING OUTCOMES
1 Understand the nature of econometric and be able to apply the basic econometric techniques.
2 to have skills to set up robust parsimonious econometric model
3 Prepare both oral and written reports to present results of time series analyses
4 Provide ability to apply fundamental econometric principles to real life and scientific problems
COURSE CONTRIBUTION TO... PROGRAM COMPETENCIES
(Blank : no contribution, 1: least contribution ... 5: highest contribution)
No Program Competencies Cont.
Master of Science in Banking and Finance Program
1 The students are gained the ability to look at the problems of daily life from a broader perspective. They gain the needed skills not only to understand economic problems in banking and finance but also to construct a model and defend in meaningful way. 5
2 They have knowledge about the finance and banking. 4
3 They have knowledge about the money and banking. 4
4 They have knowledge about the international finance and banking. 4
5 They have ability to use mathematical and statistical methods in banking and finance. 5
6 They know how to use computer programs in both daily office usage and statistical data evaluations in banking and finance department. 5
7 They have necessary banking and finance skills that needed in private and public sector. 3
8 They are intended to be specialist in one of departmental fields that they choose from the list of general economics, finance economics, public finance, corporate finance, finance management, international finance markets and institutions, banking and central banking, international finance and banking, money and banking, international trade and banking. 3
9 They have ability to utilize fundamental economic theories and tools to solve economic problems in banking and finance. 4
10 They are aware of the fact that banking and finance is a social science and they respect the social perspectives and social values of the society’s ethics. 3
COURSE EVALUATION METHOD
Method Quantity Percentage
Midterm Exam(s)
1
35
Presentation
1
25
Project
1
20
Attendance
20
Total Percent: 100%
ECTS (ALLOCATED BASED ON STUDENT WORKLOAD)
Activities Quantity Duration(Hours) Total Workload(Hours)
Course Duration (Including the exam week: 16x Total course hours) 16 3 48
Hours for off-the-classroom study (Pre-study, practice) 16 4 64
Mid-terms 1 10 10
Assignments 1 28 28
Final examination 0
Other 0
Total Work Load:
150
Total Work Load/25(h):
6
ECTS Credit of the Course:
6