Financial econometrics (2008/2009)

Course not running

Course code
4S00241
Credits
10
Coordinator
Diego Lubian
Teaching is organised as follows:
Unit Credits Academic sector Period Academic staff
1 - lezione 7 SECS-P/05-ECONOMETRICS Secondo semestre Diego Lubian
3 - esercitazione 2 SECS-P/05-ECONOMETRICS Secondo semestre Alessandro Bucciol
2 - lezione 1 SECS-P/05-ECONOMETRICS not yet allocated Alessandro Bucciol

Learning outcomes

Module: 1 - lezione
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This is an introductory course in financial markets econometrics.


Module: 3 - esercitazione
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Module: 2 - esercitazione
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This is an introductory course in financial markets econometrics.

Syllabus

Module: 1 - lezione
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1. Financial assets, price and return
1.1 Empirical properties of financial returns
2. Portfolio choice
2.1 The efficient frontier
2.2 Statistical inference on the efficient frontier
3. Market equilibrium, risk and return
3.1 The Capital Asset Pricing Model (CAPM)
3.2 The econometrics of CAPM (time series)
3.3 The econometrics of CAPM (cross-section)
3.4 Extensions: Black-Litterman
4. Portfolio performance


Module: 3 - esercitazione
-------



Module: 2 - esercitazione
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1. Financial assets, price and return
1.1 Empirical properties of financial returns
2. Portfolio choice
2.1 The efficient frontier
2.2 Statistical inference on the efficient frontier
3. Market equilibrium, risk and return
3.1 The Capital Asset Pricing Model (CAPM)
3.2 The econometrics of CAPM (time series)
3.3 The econometrics of CAPM (cross-section)
3.4 Extensions: Black-Litterman
4. Portfolio performance

Assessment methods and criteria

Module: 1 - lezione
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Written examination


Module: 3 - esercitazione
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Module: 2 - esercitazione
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Written examination

Reference books
Author Title Publisher Year ISBN Note
James H. Stock, Mark W. Watson Introduzione all'econometria (Edizione 4) Pearson Education Italia 2016 978-8-891-90124-8