| Teaching Staff
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|
| Language of Instruction |
Türkçe (Turkish) |
| Type Of Course |
Elective |
| Prerequisites |
IST 407 Time Series Analysis |
| Recommended Optional Programme Component |
|
| Course Objectives |
Object of the course is to teach the methods and techniques for analysis of financial time series and its interpretations using by computer software. |
| Course Content |
The course consists of the methods and techniques for analysis of financial time series and its interpretations. |
| Learning Outcomes (LO) |
Students will be have ability and capacity for analyze the real time series in their job or working life. |
| Mode of Delivery |
Face to face |
| Course Outline |
| Week |
Topics |
| 1. Week |
Financial time series and their characteristics: Stationary and non-stationary financial processes. |
| 2. Week |
Asset returns: Simple asset returns and continuously compounded returns. |
| 3. Week |
Distributional properties of returns. |
| 4. Week |
Stationary financial time series models of returns : ARMA(p,q) |
| 5. Week |
Applications on the real financial data in lab. |
| 6. Week |
Non-stationary financial time series models: ARIMA(p,d,q) |
| 7. Week |
Applications on the real financial data in lab. |
| 8. Week |
Trend and difference stationary processes. Unit root tests. Applications. |
| 9. Week |
Regression models with time series errors. |
| 10. Week |
Applications on the real financial data in lab. |
| 11. Week |
Conditional heteroscedastic models. Testing of ARCH effect and ARCH model. |
| 12. Week |
Generalized ARCH models. |
| 13. Week |
Applications on the real financial data in lab. |
| 14. Week |
Applications on the real financial data in lab. |
|
| Assessment |
| |
Percentage(%) |
| Mid-term (%) |
30 |
| Quizes (%) |
|
| Homeworks/Term papers (%) |
20 |
| Practice (%) |
|
| Labs (%) |
10 |
| Projects/Field Work (%) |
|
| Seminars/Workshops (%) |
|
| Final (%) |
40 |
| Other (%) |
|
| Total(%) |
100 |
|
| Course Book (s) and/or References |
1. Tsay, Ruey,S.,(2010) Analysis of Financial Time Series, Third Edition, Wiley.
2. Roman Kozhan (2010) Financial Econometrics with EVIEWS, Ventus Publishing
3. Zivot, E., J. Wang (2003) Modelling Financial Time Series With S-Plus, Springer. |
| Work Placement(s) |
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| The Relationship between Program Qualifications (PQ) and Course Learning Outcomes (LO) |
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