- Docente: Michele Costa
- Credits: 12
- SSD: SECS-S/01
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Financial Markets and Institutions (cod. 0901)
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.
The second part of the course covers an important spectrum of theoretical and empirical issues related to linear models in finance, from OLS estimation to hypothesis tests and residual analysis.
Particular attention is paid to eteroschedasticity and autocorrelation, 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.
Readings/Bibliography
M. Verbeek (2008), A guide to modern Econometrics, Wiley.
Office hours
See the website of Michele Costa
SDGs
This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.