Financial econometrics (2017/2018)

Course code
Name of lecturer
Diego Lubian
Diego Lubian
Number of ECTS credits allocated
Academic sector
Language of instruction
Primo Semestre Magistrali dal Oct 2, 2017 al Dec 22, 2017.

Lesson timetable

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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.


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

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
James H. Stock, Mark W. Watson Introduzione all'econometria (Edizione 4) Pearson Education Italia 2016 978-8-891-90124-8

Assessment methods and criteria

Written exam

Student opinions - 2016/2017

Statistics about transparency requirements (Attuazione Art. 2 del D.M. 31/10/2007, n. 544)

Data from AA 2017/2018 are not available yet