Financial econometrics (2010/2011)

Course code
4S00241
Name of lecturer
Diego Lubian
Coordinator
Diego Lubian
Number of ECTS credits allocated
9
Academic sector
SECS-P/05 - ECONOMETRICS
Language of instruction
Italian
Period
Second semester dal Feb 21, 2011 al May 25, 2011.

Lesson timetable

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 (review)
3.2 Statistical inference on the efficient frontier
4. Market equilibrium, risk and return
4.1 The Capital Asset Pricing Model (review)
4.2 The econometrics of CAPM (time series)
4.3 The econometrics of CAPM (cross-section)
4.4 Extensions: Black-Litterman
5. Econometric Analysis of portfolio performance

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

Assessment methods and criteria

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Written Examination