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
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.
| 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 |
Written exam
