Financial econometrics (2013/2014)

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 17, 2014 al May 30, 2014.

Lesson timetable

secondo semestre
Day Time Type Place Note
Wednesday 9:20 AM - 11:50 AM lesson Lecture Hall Offeddu, H  
Thursday 9:20 AM - 11:00 AM lesson Lecture Hall H  

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

Reference books
Author Title Publisher Year ISBN Note
Verbeek, M. A Guide to Modern Econometrics Wiley 2000 Cap. 8
James H. Stock, Mark W. Watson Introduzione all'econometria (Edizione 4) Pearson Education Italia 2016 978-8-891-90124-8 Cap.1-7, 17-18.6

Assessment methods and criteria

Written Examination and project work