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.

Statistics about transparency requirements (Attuazione Art. 2 del D.M. 31/10/2007, n. 544)

Statistics
Outcomes Exams Outcomes Percentages Average Standard Deviation
Positive 73.91% 25 2
Rejected --
Absent 21.73%
Ritirati 4.34%
Canceled --
Distribuzione degli esiti positivi
18 19 20 21 22 23 24 25 26 27 28 29 30 30 e Lode
0.0% 0.0% 0.0% 5.8% 11.7% 11.7% 11.7% 17.6% 11.7% 5.8% 5.8% 11.7% 5.8% 0.0%

Data from AA 2007/2008 based on 23 students. I valori in percentuale sono arrotondati al numero intero più vicino.