BAF 309/310 Financial Econometrics I-II

BAF 309/310 dersinde Hocanın derste ödev olarak verdiği Study Sheetler üzerinden soruları çözüyor; gerekirse geçmiş yıl sınavlarının üzerinden geçiyoruz.  

Ders Tanıtımı:

The course will introduce undergraduate students to the main theoretical frameworks employed in research financial econometrics and discuss the empirical evidence on these theories. We will review the Maximum Likelihood Estimation, Univariate Time Series and Applications to Finance, Modelling Volatility – Conditional Heteroscedastic Models, Modelling Volatility and Correlations – Multivariate GARCH Models, Vector Autoregressive Models, Limited Dependent Variable Models.

Haftalık Konular: 

  1. Statistical Properties of Financial Returns

  2. Matrix Algebra, Regression and Applications in Finance

  3. Matrix Algebra, Regression and Applications in Finance

  4. Maximum Likelihood Estimation

  5. Maximum Likelihood Estimation

  6. Univariate Time Series and Applications to Finance

  7. Midterm Week

  8. Modelling Volatility – Conditional Heteroscedastic Models

  9. Modelling Volatility – Conditional Heteroscedastic Models

  10. Modelling Volatility and Correlations – Multivariate GARCH Models

  11. Modelling Volatility and Correlations – Multivariate GARCH Models

  12. Vector Autoregressive Models

  13. Vector Autoregressive Models

  14. Limited Dependent Variable Models

Çankaya Özel Dersler

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