Financial econometrics (2012/2013)

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
secondo semestre dal Feb 18, 2013 al May 24, 2013.

Lesson timetable

Learning outcomes

A course in financial econometrics

Syllabus

1. The simple regression model: CAPM
2. The multiple regression model: multifactor models, tests of portfolio efficiency, performance analysis
3. The generalized regression model: active portfolio management (Black-Litterman)
4. Financial returns modeling: ARMA models
5. Volatility modeling: ARCH/GARCH models

Assessment methods and criteria

Written Examination