Financial econometrics (2016/2017)

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 27, 2017 al Jun 1, 2017.

Lesson timetable

Secondo Semestre Magistrali
Day Time Type Place Note
Wednesday 11:00 AM - 1:30 PM lesson Lecture Hall SPB  
Thursday 11:00 AM - 1:30 PM lesson Lecture Hall SPB  

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

Texbooks:
Stock, J e M. Watson, Introduction to Econometrics, Pearson
Verbeek, M., A Guide to Modern Econometrics, Wiley

1. Stock-Watson, ch. 4, 5, 17

2.Suggested readings: F. Black, M. Jensen e M. Scholes (1972) “The Capital asset pricing model: some empirical tests”; E. Fama, J. MacBeth (1973), “Risk, return and equilibrium: empirical tests”, Journal of Political Economy.

3. Stock-Watson, ch. 6, 7, 18.1-18.6

4. M. Britten-Jones (1999), “The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights”, Journal of Finance;
Suggested reading: E. Fama, K. French (1993) “Common risk factors in the returns of stocks and bonds”, Journal of Financial Economics.
For a general treatment of portfolio theory,see: Edwin J. Elton, Martin J. Gruber,Stephen J. Brown, William N. Goetzmann, Modern Portfolio Theory and Investment Analysis, Wiley and Sons.

5. Suggested readings: P. Jorion (1992) “Portfolio optimization in practice”, Financial Analyst Journal; F.Black e R.Litterman (1991) “Global portfolio optimization”, Financial Analyst Journal.

6. Verbeek, ch. 8 and handout.

7. Verbeek, ch. 8 and handout.

Reference books
Author Title Publisher Year ISBN Note
Verbeek, M. A Guide to Modern Econometrics Wiley 2000
Stock, J. e M. Watson Introduzione all'econometria Pearson 2016

Assessment methods and criteria

Written exam

STUDENT MODULE EVALUATION - 2016/2017