Financial econometrics - Lezione (2007/2008)

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Course code
4S00241
Name of lecturer
Diego Lubian
Number of ECTS credits allocated
8
Academic sector
SECS-P/05 - ECONOMETRICS
Language of instruction
Italian
Location
VERONA
Period
2° sem lez dal Feb 18, 2008 al May 24, 2008.
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To show the organization of the course that includes this module, follow this link * Course organization

Lesson timetable

Learning outcomes

This course provides a set of econometric tools useful to analyze financial markets.

Syllabus

1. Financial assets, prices and returns
a. Empirical properties of asset returns
2. Mean-Variance Portfolio Theory
a. The efficient frontier.
b. Statistical Inference on the efficient frontier.
3. Market equilibrium, risk and return.
a. The Capital Asset Pricing Model (CAPM)..
b. CAPM: time series regressions.
c. CAPM: cross-section regressions.
d. Black-Litterman.
4. Mutual Fund Performance.
a. Measures of performance.
5. Time series models for returns and volatility.
a. ARIMA models.
b. Conditional heteroskedasticity models (ARCH, GARCH).

Tesxtbook
Pastorello, S., Rischio e rendimento. Teoria finanziaria e applicazioni econometriche, Il Mulino, 2001.

Assessment methods and criteria

Written examination.

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