İST416


Course Title Course Code Program Level
FINANCIAL TIME SERIES İST416 Statistics B.A. / B.Sc.

Course Term
(Course Semester)
Teaching and Learning Methods
Credits
Theory Practice Lab Projects/Field Work Seminars/Workshops Other Total Credits ECTS Credits
08
(Spring)
28 14 96 138 3 5

Teaching Staff
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)
The Relationship between Program Qualifications (PQ) and Course Learning Outcomes (LO)