- Docente: Luca De Angelis
- Credits: 6
- SSD: SECS-P/05
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Quantitative Finance (cod. 8854)
Learning outcomes
At the end of the course the student is introduced to the basic concepts of econometrics, with particular focus on time series analysis. The student masters the basic least squares and maximum likelihood techniques. As for time series analysis, the student is able to apply standard ARIMA methods, with introduction to fractional integration. The student learns to apply these models using Mathlab.
Course contents
1. Moment-conditions based estimation. Least squares and quasi maximum likelihood
2. Large-sample OLS-based inference in linear models with stochastic regressors
3. Large-sample quasi maximum likelihood inference
4. Univariate time series models for conditional means and conditional variances. Estimation and inference
Readings/Bibliography
Hansen B. (2017). Econometrics (download at: [https://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf] )
Tsay R. (2002). Analysis of Financial Time Series. Wiley
Teaching methods
Traditional lectures, empirical examples and analyses in a computer lab
Assessment methods
Written exam consisting of two parts: theoretical exercises and questions based on estimation output.
Teaching tools
Econometric software: Gretl
Office hours
See the website of Luca De Angelis
SDGs
This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.