13178 - Financial Econometrics

Course contents

1. Regressione lineare e minimi quadrati ordinari. Analisi di serie storiche: stazionarietà, modelli ARMA, test. Stima del Capital Asset Pricing Model (CAPM) e altre applicazioni finanziarie.
2. Modelli di volatilità: ARCH, GARCH e volatilità asimmetrica
   
3. Analisi di serie storiche multivariate: modelli autoregressivi vettoriali (VAR), funzioni di risposta all'impulso, scomposizione della varianza. Spillover di volatilità ed effetti di network nei mercati finanziari.
   
4. Strumenti per la valutazione del rischio: Value at Risk e simulazioni Monte Carlo.

Readings/Bibliography

The main teaching material will be distrubuted by the instructor (slides, scientific papers, software codes).

Further readings are:

• Tsay, R. (2010), Analysis of Financial Time Series, 3rd edition, Wiley.

• Verbeek, M. (2004), A Guide to Modern Econometrics, Wiley.

Teaching methods

Teaching lessons and empirical exercises using the econometric software Gretl and Matlab.

Assessment methods

Assessment is based on a written exam at the end of the course and a problem set assigned during the course.

The final grade is calculated as a weighted average, using the following weights:

- problem set 30%

- final exam 70%

The problem set consists of a homework assignment. The final exam is written and lasts 1 hour.

The maximum possible score is 30 cum laude, in case all answers are correct, complete and formally rigorous.

The grade is graduated as follows:

<18 failed
18-23 sufficient
24-27 good
28-30 very good
30 e lode excellent

Teaching tools

The web page of the course on the Virtuale platform where, regularly, the following meterial will be uploaded.

- slides presented during the lessons

- software codes of the empirical applications presented during the lessons

- scientific papers and other interesting teaching material

Office hours

See the website of Emanuele Bacchiocchi