13178 - ECONOMETRIA DEI MERCATI FINANZIARI

Conoscenze e abilità da conseguire

Al termine del corso ci si attende che lo studente abbia acquisito i principali concetti relativi agli strumenti econometrici per l'analisi di modelli di frequente utilizzo in ambito finanziario (modelli non lineari, per variabili qualitative o latenti). In particolare, ci si attende che lo studente sia in grado di: - utilizzare le tecniche inferenziali di massima verosimiglianza e il metodo generalizzato dei momenti; - sviluppare applicazioni di queste tecniche nell'ambito dell'analisi di variabili dipendenti qualitative, modelli ARCH o modelli di pricing non lineari

Contenuti

1. The consumption-based model and the SDF
2. Alternative mean-variance frontier and beta representations
3. Regression-based tests of linear models
4. Maximum likelihood inference
5. GMM estimation and testing of SDF pricing models
6. Time series vs. cross-sectional approaches
7. Extensions

Testi/Bibliografia

• John. H. Cochrane, "Asset Pricing", Princeton University Press, 2nd ed., 2005.
• John Y, Campbell, Andrew W. Lo and A. Craig McKinley, "The Econometrics of Financial Markets", Princeton University Press, 1997.
• Further material (including data and software) for this course will be made available from the personal webpage of the lecturer.

Metodi didattici

For each topic we will first introduce the relevant theory, and then move as soon as possible to its empirical application. Special emphasis will be placed on the economic interpretation of the results.

Modalità di verifica e valutazione dell'apprendimento

The final exam is written. It lasts one hour and it is composed of two distinct sections.
The first one is mainly theoretical, and it contains 5 multiple choice questions. The second one is mainly empirical, and it contains 11 questions whose answers shoud be computed using Stata and knowledge of the empirical analysis discussed during classes. Whatever the section, each correct answer yields two points; no penalty is applied to wrong answers. The final mark is the total number of point obtained in the two sections.
During the exam it is forbidden to consult notes, slides, books, pocket calculators and any other electronic devices. The purpose of the exam is to ascertain that students acquired the knowledge required to correctly specify, estimate and test the econometric models discussed during the lectures and possess the ability to properly interpret the results provided by these procedures.

Strumenti a supporto della didattica

We will discuss several empirical analysis and replicate the results of a few papers using the econometric software Stata.

Orario di ricevimento

Consulta il sito web di Sergio Pastorello