Financial econometrics (2009/2010)



Course code
4S00241
Credits
9
Coordinator
Diego Lubian
Academic sector
SECS-P/05 - ECONOMETRICS
Language of instruction
Italian
Web page
http://elearning.univr.it/
Teaching is organised as follows:
Activity Credits Period Academic staff Timetable
1 - lezione 7 2nd semester Diego Lubian
2 - lezione 2 2nd semester Alessandro Bucciol

Lesson timetable

2nd semester
Activity Day Time Type Place Note
1 - lezione Monday 9:30 AM - 12:30 PM lesson Lecture Hall Offeddu  
1 - lezione Tuesday 9:30 AM - 12:30 PM lesson Lecture Hall Offeddu  

Learning outcomes

Module:
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A course in financial econometrics

Syllabus

Module:
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1. Review of probability and statistics
2. The classical linear regression model
2.1 The simple regression model
2.2 The multiple linear regression model
3. Portfolio choice
3.1 The efficient frontier
3.2 Statistical inference on the efficient frontier
4. Market equilibrium, risk and return
4.1 The Capital Asset Pricing Model (CAPM)
4.2 The econometrics of CAPM (time series)
4.3 The econometrics of CAPM (cross-section)
4.4 Extensions: Black-Litterman
5. Portfolio performance

Assessment methods and criteria

Module:
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Written Examination

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