13178 - Econometrics for Financial Markets

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 twoconceptual parts:

PART ONE: ANALYSIS OF ECONOMIC AND FINANCIAL RELATIONSHIPS (Giovanni Angelini, 60 hours, 75% of the final grade):

- Statistical analysis of economic relationships.

- How to build an econometric model.

- The linear regression model: classic and generalized model.

- Estimation issues.

- Introduction to diagnostic analysis.

- Maximum likelihood estimation.

- Models for conditional volatility.

- introduction to ARCH models and their use in financial analysis and the generalizations to GARCH models.

 

PART TWO (Gian Luca Tassinari, 20 hours, 25% of the final grade):

- CAPM model: specification, analysis, estimation, use.

- The event-study analysis.

Readings/Bibliography

Teachers will also provide their own teaching materials made available on IOL

Additional material:

Francis X. Diebold, Econometric Data Science: A Predictive Modeling Approach, 2019.

Attilio Gardini, Luca Fanelli, Giuseppe Cavaliere, Michele Costa, Econometria, Vol 1°, Franco Angeli Editore Milano.

 

Teaching methods

Classes and labs using R

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. 

 

 

Teaching tools

Econometric packages R

Links to further information

https://sites.google.com/view/giovanni-angelini/home

Office hours

See the website of Giovanni Angelini

See the website of Gian Luca Tassinari