COURSE INFORMATION
Course Title: FINANCIAL ECONOMETRICS II
Code Course Type Regular Semester Theory Practice Lab Credits ECTS
BAF 334 C 6 4 0 0 4 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: Elective
Classroom and Meeting Time: Every Monday between 12:30 to 16:00
Course Description: BAF 334 - Financial Econometrics II This course is an introduction to financial econometrics -data science applied to finance. The course covers computer programming and data analysis in Eviews, econometrics (statistical analysis), financial economics, microeconomics, mathematical optimization, and probability models. The emphasis of the course will be on making the transition from an economic model of asset return behavior to an econometric model using real data. The modeling process requires the use of economic theory, matrix algebra, optimization techniques, probability models, statistical analysis, and statistical software.
Course Objectives: To provide students skills required to research in economics and finance with exposure to more advanced econometric practices and models. Real Life applications are analyzed with aid of the E-VIEWS econometric package. Laboratory sessions help students to have skills of using, demonstrating and interpreting the results and teach how the techniques are applied in practice.
COURSE OUTLINE
Week Topics
1 Regression with Dummy Variables
2 Binary Dependent Variable, Discrete Dependent Variable
3 Heteroskedasticity
4 Heteroskedasticity
5 More on Specification and Data issues
6 More on Specification and Data issues
7 Midterm exam
8 Basic Regression analysis with Time series data
9 Basic Regression analysis with Time series data
10 Further issues in using OLS with time series data
11 Further issues in using OLS with time series data
12 Serial Correlation
13 Heteroskedasticity
14 Review
Prerequisite(s): Financial Econometrics 1
Textbook: Wooldridge J.M.(2015). Introduction to Econometrics. Cengage Learning
Other References: Lectures, Practical Sessions, Exercises
Laboratory Work: 2 hours every week
Computer Usage: E-views software program
Others: No
COURSE LEARNING OUTCOMES
1 to model the relationship between multivariate variables
2 to have skills to set up robust parsimonious econometric model
3 to have ability for testing specification of the model
4 to have skills to analyze financial time series
COURSE CONTRIBUTION TO... PROGRAM COMPETENCIES
(Blank : no contribution, 1: least contribution ... 5: highest contribution)
No Program Competencies Cont.
Bachelor in Banking and Finance (3 years) 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. 3
4 They have knowledge about the international finance and banking. 3
5 They have ability to use mathematical and statistical methods in banking and finance. 4
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. 4
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. 4
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. 5
COURSE EVALUATION METHOD
Method Quantity Percentage
Project
1
20
Lab/Practical Exams(s)
2
20
Final Exam
1
30
Attendance
10
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 4 64
Hours for off-the-classroom study (Pre-study, practice) 16 2 32
Mid-terms 1 12 12
Assignments 0
Final examination 1 16 16
Other 1 26 26
Total Work Load:
150
Total Work Load/25(h):
6
ECTS Credit of the Course:
6