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 Economics 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 economics but also to construct a model and defend in meaningful way.	5
2	They have knowledge about the microeconomics.	2
3	They have knowledge about the macroeconomics.	2
4	They have knowledge about the international economics and finance.	4
5	They have ability to use mathematical and statistical methods in economics.	5
6	They know how to use computer programs in both daily office usage and statistical data evaluations in public and private sector.	5
7	They have necessary economics 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, growth and development, labor economics and labor market, environmental economics, agricultural economics, health economics, education economics and human development, political economics, international economics, monetary economics, finance economics, public finance, international financial markets and institutions, banking and central banking, international trade and banking, monetary economics and banking,	3
9	They have ability to utilize fundamental economic theories and tools to solve economic problems in economics.	4
10	They are aware of the fact that economics is a social science and they respect the social perspectives and social values of the society’s ethics.	4

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