- Docente: Giovanni Angelini
- Credits: 10
- SSD: SECS-P/05
- Language: Italian
- Moduli: Giovanni Angelini (Modulo 1) Gian Luca Tassinari (Modulo 2)
- Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2)
- Campus: Rimini
- Corso: First cycle degree programme (L) in Finance, Insurance and Business (cod. 8872)
Learning outcomes
At the end of this course, the student will know the key elements behind the quantitative analysis of financial markets. The student will be able to specify, estimate and interpret econometric models intended to explain the dynamics of prices, returns and volatility of financial assets. The student will also be able to carry out empirical analyses with econometric packages.
Course contents
The course is divided into twoconceptual parts:
PART ONE: ANALYSIS OF ECONOMIC AND FINANCIAL RELATIONSHIPS (Giovanni Angelini, 60 ore)
- Statistical analysis of economic relationships.
- How to build an econometric model.
- The linear regression model: classic and generalized model.
- Estimation issues.
- Introduction to diagnostic analysis.
- Maximum likelihood estimation.
- Models for conditional volatility.
- introduction to ARCH models and their use in financial analysis and the generalizations to GARCH models.
PART TWO (Gian Luca Tassinari, 20 ore)
- CAPM model: specification, analysis, estimation, use.
- The event-study analysis.
Readings/Bibliography
Francis X. Diebold, Econometric Data Science: A Predictive Modeling Approach, 2019.
Attilio Gardini, Luca Fanelli, Giuseppe Cavaliere, Michele Costa, Econometria, Vol 1°, Franco Angeli Editore Milano.
Teachers will also provide their own teaching materials made available on IOL
Teaching methods
Classes and labs
Assessment methods
The exam aims to verify thjat the student has achieved the following basic targets:
• knowledge of basic econometrics, in particular, the special features which characterize financial markets;
• the ability to apply the main theoretical concepts to modeling asset returns and their volatility.
The exam is written and a grade of the form xx/30 is given.
Students are supposed to do theoretical exercises but also discuss practical cases based on estimation outputs which refer to real markets.
Teaching tools
Econometric packages
Links to further information
https://sites.google.com/view/giovanni-angelini/home
Office hours
See the website of Giovanni Angelini
See the website of Gian Luca Tassinari
SDGs
This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.