Financial econometrics (2007/2008)

Course not running

Course code
4S00241
Credits
10
Coordinator
Diego Lubian
Teaching is organised as follows:
Unit Credits Academic sector Period Academic staff
Lezione 8 SECS-P/05-ECONOMETRICS 2° sem lez Diego Lubian
1 1 SECS-P/05-ECONOMETRICS 2° sem lez Diego Lubian
2 1 SECS-P/05-ECONOMETRICS 2° sem lez Laura Magazzini

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.