COURSE UNIT TITLE

: FINANCIAL ECONOMETRICS

DEGREE PROGRAMMES

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
EKO 6071 FINANCIAL ECONOMETRICS ELECTIVE 3 0 0 6

Offered By

Econometrics

Level of Course Unit

Third Cycle Programmes (Doctorate Degree)

Course Coordinator

PROFESSOR DOCTOR MERT URAL

Offered to

Econometrics

Course Objective

To teach theoretical structure of the Fundamental Econometrics methods and techniques to the researchers who research on Finance and Financial Econometrics and Macroeconomics and to provide this structure to carry on the applications.

Learning Outcomes of the Course Unit

1   To be able to teach fundamental concepts of the financial economics
2   To be able to learn cyclical fluctuations and crises
3   To be able to evaluate the financial crises models
4   To be able to understand the financial asset pricing models
5   To be able to learn the hedge techniques by financial derivative products

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description
1 Fundamental concepts of the financial economics
2 Fundamentals of the cyclical fluctuations
3 Modern business cycle theories
4 Financail crisis models
5 Leading indicators of financial crises
6 Evaluation of major financial crises in the world
7 Evaluation of financial crises in theTurkey (Midterm exam will also be held this week after course hour)
8 Pricing models: the Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT)
9 Pricing models: the Fama-French Three-Factor Pricing Model
10 International parity conditions and arbitrage
11 Value at risk model-VAR analysis in measuring financial risk
12 Financial risks
13 Financial derivative products
14 Basel Capital Adequacy Regulations

Recomended or Required Reading

Frank J. Fabozzi, Edwin H. Neave and Guofu Zhou, Financial Economics, Wiley Press, 2011.
Zvi Bodie , Robert Merton and David L.Cleeton, Financial Economics, 2nd Edition, Prentice Hall, 2008.
Chris Jones, Financial Economics, Routledge Press, 2008.
James Bradfield, Introduction to the Economics of Financial Markets, Oxford University Press, 2007.
Keith Cuthbertson and Dirk Nitzsche, Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, Wiley Press, 2005.
Stephen F. LeRoy, Jan Werner and Stephen A. Ross, Principles of Financial Economics, Cambridge University Press, 2001.

Planned Learning Activities and Teaching Methods

Includes lectures and make interpretation related with current developments.

Assessment Methods

SORTING NUMBER SHORT CODE LONG CODE FORMULA
1 MTE MIDTERM EXAM
2 STT TERM WORK (SEMESTER)
3 FIN FINAL EXAM
4 FCG FINAL COURSE GRADE MTE * 0.30 + STT * 0.20 + FIN* 0.50
5 RST RESIT
6 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.30 + STT * 0.20 + RST* 0.50


*** Resit Exam is Not Administered in Institutions Where Resit is not Applicable.

Further Notes About Assessment Methods

None

Assessment Criteria

To be announced.

Language of Instruction

Turkish

Course Policies and Rules

To be announced.

Contact Details for the Lecturer(s)

mert.ural@deu.edu.tr
3010633

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours)
Lectures 14 3 42
Preparations before/after weekly lectures 14 3 42
Preparation for midterm exam 1 15 15
Preparation for final exam 1 20 20
Preparing assignments 1 15 15
Reading 1 15 15
Midterm 1 3 3
Final 1 3 3
TOTAL WORKLOAD (hours) 155

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7PO.8PO.9
LO.11
LO.21
LO.31
LO.41
LO.51

CONTACT INFORMATION
Dokuz Eylül Üniversitesi Cumhuriyet Bulvarı No: 144 35210 Alsancak / İZMİR
Phone: +90(232) 412 12 12 - Fax: +90 (232) 464 81 35

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