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Program Type: 
Thesis
Non Thesis
Course Code: 
FE 624
P: 
3
Lab: 
0
Credits: 
3
ECTS: 
10
Course Language: 
English
Course Content: 

Multivariate linear regression models: statistical multi-factor models, transfer function models, multi-factor financial asset pricing models: Fama-French, Carhart etc.

Vector Autoregressive (VAR) and Vector Autoregressive Moving Average (VARMA) processes: basic assumptions and features, model selection criteria, estimation methods, estimation, VAR and VARMA models and structural analysis: Granger causality analysis, impulse response analysis, estimation error variance decomposition.

Cointegration processes, common stochastic trends, Vector Error Correction Models (VECM): cointegration tests (Johansen, Granger etc.), definition and model selection for VECM, estimation with VECM, structural analysis with VECM.

Multiple volatility and multivariate conditional variance (MGARCH) processes: MGARCH model types (CCC, DCC, BEKK), definitions and properties, estimation and estimation methods, volatility spillover effect.

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