Course Unit Page


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

Quality education Decent work and economic growth

Academic Year 2019/2020

Learning outcomes

At the end of the course the student is able to know the most widespread statistical methods for portfolio and risk management. Specifically, the student is able to uncover the meaningful relationships between financial markets analysis and statistical methodology.

Course contents

The first part of the course covers the main aspects of the statisticial analysis of financial variables: from a single asset to portfolios, efficient frontier, capital market line and security market line.

The second part of the course covers an important spectrum of theoretical and empirical issues related to linear models in finance (market model and capital asset pricing model), from OLS estimation to hypothesis tests and residual analysis.

Particular attention is paid to eteroschedasticity (White test) and autocorrelation (Durbin Watson and Breusch Pagan tests), to ARCH and GARCH specifications and to extensions to non linear specifications.

Statistical methods are developed within the context of financial models in order to verify and interpret the empirical results.

Applications to the Italian Stock Market are performed by using appropriate software.


M. Verbeek (2008), A guide to modern Econometrics, Wiley.

Teaching methods

Lectures followed by in-class tutorials.

Assessment methods

Oral exam.

Teaching tools


Office hours

See the website of Michele Costa