- Docente: Luca De Angelis
- Crediti formativi: 6
- SSD: SECS-P/05
- Lingua di insegnamento: Inglese
- Modalità didattica: Convenzionale - Lezioni in presenza
- Campus: Bologna
- Corso: Laurea Magistrale in Quantitative finance (cod. 8854)
Conoscenze e abilità da conseguire
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.
Contenuti
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
Testi/Bibliografia
Hansen B. (2017). Econometrics (scaricabile [https://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf] )
Tsay R. (2002). Analysis of Financial Time Series. Wiley
Metodi didattici
Traditional lectures, empirical examples and analyses in a computer lab
Modalità di verifica e valutazione dell'apprendimento
Written exam consisting of two parts: theoretical exercises and questions based on estimation output.
Strumenti a supporto della didattica
Econometric software: Gretl
Orario di ricevimento
Consulta il sito web di Luca De Angelis
SDGs
L'insegnamento contribuisce al perseguimento degli Obiettivi di Sviluppo Sostenibile dell'Agenda 2030 dell'ONU.