Quantitative Methods in Finance (FINA 514/614) Assoc.Prof.Dr. Salih KATIRCIOGLU (Ph.D in Economic Development and International Economics)

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Presentation transcript:

Quantitative Methods in Finance (FINA 514/614) Assoc.Prof.Dr. Salih KATIRCIOGLU (Ph.D in Economic Development and International Economics) facebook.com/S.T.Katircioglu

Prerequisite to FINA 514/614 Undergraduate Level of Statistics I and II Descriptive Statistics Probability Distributions Estimation Techniques in Confidence Intervals Hypothesis Tests Basics in Correlation and Regression Analysis

Outline The Nature of Statistics and Econometrics Two-Variable Regression Analysis: Some Basic Ideas Two-Variable Regression Analysis: The Problem of Estimation The Normality Assumption: Classical Normal Linear Regression Model (CNLRM) Two Variable Regression: Interval Estimation and Hypothesis Testing Extensions of the Two-Variable Linear Regression Model Multiple Regression Analysis: The Problem of Estimation Multiple Regression Analysis: The Problem of Inference Deviations from Classical Linear Regression Models Time Series Econometrics I: Stationarity Concepts Unit Roots Cointegration and Error Correction Models

Research Method Research Question Literature Review Research Methodology Obtaining Data Quantitative Data Qualitative Data Analyzing Data Research and Policy Implications

About Data Qualitative Data Qualitative Surveys Quantitative Data Primary Data: Questionnaire Research Secondary Data: Existing Data from records

On Data More! Time Series Data Monthly, Annually, Quarterly, Weekly, Daily Cross Sectional Data Questionnaire Data Data for variables based on a single period Panel Data Merging time series and cross-sectional data

On the types of Data More ! YearsGDP (m.$)M2 /GDP ,20, ,40, ,80, ,40, ,50, ,00, ,10, ,90, ,40,74 Time Series Data for a particular country

On the types of Data More CountryGDP (m.$) (Year: 2004) M2 /GDP (Year: 2004) Albania215,20,55 Belgium206,40,56 Denmark217,80,55 Estonia115,40,60 Finland119,50,70 Germany920,00,71 Holland224,10,70 Ireland150,90,72 Litvania132,40,74 Crosssectional Data for GDP and M2 by country for 2004

On the types of Data More CountryYearsGDP (m.$)M2 /GDP Albania ,20, ,40, ,80,55 Belgium ,40, ,50, ,00,71 Denmark ,10, ,90, ,40,74 Panel Data

INTRODUCTION What is Econometrics? Econometrics  Economic Measurement EconomicsMathematics Statistics Statistical Economics Mathematical Statistics Mathematical Economics Econometrics

Methodology of Econometrics 1. Statement of theory or hypothesis 2. Specification of the mathematical model of the theory 3. Specification of the econometric model of the theory 4. Obtaining the data 5. Estimation of the parameters of the econometric model 6. Hypothesis Testing 7. Forecasting or Prediction 8.Using the model for control or policy purposes

Types of Econometrics Anatomy of Econometrics Economic Theory Mathematical Model of Theory Econometric Model of Theory Data Estimation of Econometric Model Hypothesis Testing Forecasting or Prediction Using the Model for Control or Policy Purposes

Econometrics TheoreticalApplied ClassicalBayesianClassicalBayesian

Role of Computer Technology in Econometrics Can you run econometrics by Calculator? Important Software Packages Econometric Views (EVIEWS) LIMDEP TSP MINITAB SPSS SAS PC-GIVE, PC-WIN