COURSE UNIT TITLE

Offered By

Business Administration (English)

Level of Course Unit

Third Cycle Programmes (Doctorate Degree)

Course Coordinator

PROFESSOR ADNAN KASMAN

Offered to

Business Administration (English)

Course Objective

The objective of the course is to skills for dealing with univariate and multivariate time series modeling of economic and financial data. Stationary and nonstationary time series with unit roots, AR, MA, ARMA and ARIMA models, cointegration, error correction models, VAR, causality, volatility models (ARCH, GARCH, EGARCH, FIGARCH, etc) and panel data models are are the main topics to be covered. The use of computer is an integrated
part of the course. Students are expected to prepare a term project to demonstrate their skills developed in the course

Learning Outcomes of the Course Unit

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Recomended or Required Reading

1. Ruey S. Tsay Analysis of Financial Time Series, 2 nd Ed. Willey, 2005
2. Lecture Notes

Planned Learning Activities and Teaching Methods

1. Lectures
2. Class Discussions
3. Term Project

Assessment Methods

Further Notes About Assessment Methods

None

Assessment Criteria

1. The learner will use necessary statistical and time series econometric tools to
engage independent research.
2. The learner will clearly recognize the problems with existing econometric models
3. The learner will build time series econometric models for estimation purposes
4. The learner will interpret empirical results
5. The learner will draw some policy implications from estimation results

Language of Instruction

English

Course Policies and Rules

Participation in class is required

Contact Details for the Lecturer(s)

To be announced.

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Contribution of Learning Outcomes to Programme Outcomes