Financial Econometrics
FE 515 Financial Econometrics (Finansal Ekonometri) (3+0+0) 3 ECTS 6 Introduction to forecasting techniques; univariate and multi-variate time series; volatility dynamics; Box-Jenkins approach and ARIMA models; seasonal ARIMA models; martingales, random walks and non-linearity; stochastic variance models and ARCH processes; practical modelling and forecasting of financial time series; applications of neural networks and genetic algorithms. s
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