- Docente: Luca Fanelli
- Credits: 10
- SSD: SECS-P/05
- Language: Italian
- Moduli: Luca Fanelli (Modulo 1) Gian Luca Tassinari (Modulo 2) Giovanni Angelini (Modulo 3)
- Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2) Traditional lectures (Modulo 3)
- 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 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
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
SDGs
This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.