13178 - Econometrics for Financial Markets

Course Unit Page

SDGs

This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.

Quality education Decent work and economic growth Industry, innovation and infrastructure Reduced inequalities

Academic Year 2018/2019

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 three parts

 

PART ONE: ANALYSIS OF ECONOMIC AND FINANCIAL RELATIONSHIPS

Statistical analysis of economic relationships

How to build an econometric model

The linear regression model: classic and generalized model

Estimation issues

Financial applications

Introduction to diagnostic analysis.

 

PART TWO: SPECIFIC MODELS AND TECHNIQUES

CAPM model: specification, analysis, estimation, use.

The event-study analysis.

 

PART THREE: INTRODUCTION TO VOLATILITY

Models for conditional volatility

Measures of risk

introduction to ARCH models and their use in financial analysis

Generalizations. GARCH models

Maximum likelihood estimation

 

 

Readings/Bibliography

Attilio Gardini, Luca Fanelli, Giuseppe Cavaliere, Michele Costa, ECONOMETRIA, Vol 1°, Franco Angeli Editore Milano.

Campbell, J.Y., Lo, A.W., MacKinlay, A. C. (1997), The Econometics of Financial Markets, Princeton University Press, Princeton.

Sergio Pastorello, Rischio e rendimento. Teoria finanziaria e applicazioni econometriche, il Mulino, 2001.

 

 

Teachers will also provide their own teaching materials

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. 

Further information may be found at the link "Teaching" at http://www.rimini.unibo.it/fanelli

 

Teaching tools

Econometric packages

Links to further information

http://www.rimini.unibo.it/fanelli

Office hours

See the website of Luca Fanelli

See the website of Gian Luca Tassinari

See the website of Giovanni Angelini