Financial econometrics (2015/2016)

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 Magistrali dal Feb 22, 2016 al Jun 1, 2016.

Lesson timetable

Secondo Semestre Magistrali
Day Time Type Place Note
Wednesday 9:20 AM - 11:50 AM lesson Lecture Hall SMT.06  
Thursday 11:00 AM - 1:30 PM lesson Lecture Hall SMT.06  

Learning outcomes

Financial econometrics is the intersection of statistical techniques and finance. Financial econometrics provides a set of tools that are useful for modeling financial data and testing beliefs about how markets work and prices are formed.

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 and project work

STUDENT MODULE EVALUATION - 2015/2016