- Docente: Iliyan Georgiev
- Credits: 6
- SSD: SECS-P/05
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Statistics, Economics and Business (cod. 8876)
Learning outcomes
At the end ot the course students should be able to construct and use advanced econometric models that aid decision-making under uncertainty, e.g., regarding decisions on the structure of investment portfolios.
Course contents
1. Applications of the cointegrated VAR model: optimal hedging
2. Multivariate ARCH and GARCH models. Estimation and specification analysis. Forecasting the volatility of financial returns.
3. Value-at-Risk and expected shortfall of a portfolio. Forecasting and evaluation of the forecast performance.
Readings/Bibliography
Gatarek L., Johansen S. (2015). Optimal Hedging with the VAR Model
Lütkepohl H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Teaching methods
Theory classes and empirical exercises at the computer lab
Assessment methods
A written exam (open-book, with all supporting materials in paper form).
Teaching tools
Econometric software: Gretl, JMulti
Links to further information
https://elearning-cds.unibo.it/course/view.php?id=15326
Office hours
See the website of Iliyan Georgiev