To show the organization of the course that includes this module, follow this link Course organization
This course provides a set of econometric tools useful to analyze financial markets.
1. Financial assets, prices and returns
a. Empirical properties of asset returns
2. Mean-Variance Portfolio Theory
a. The efficient frontier.
b. Statistical Inference on the efficient frontier.
3. Market equilibrium, risk and return.
a. The Capital Asset Pricing Model (CAPM)..
b. CAPM: time series regressions.
c. CAPM: cross-section regressions.
d. Black-Litterman.
4. Mutual Fund Performance.
a. Measures of performance.
5. Time series models for returns and volatility.
a. ARIMA models.
b. Conditional heteroskedasticity models (ARCH, GARCH).
Tesxtbook
Pastorello, S., Rischio e rendimento. Teoria finanziaria e applicazioni econometriche, Il Mulino, 2001.
Written examination.
via Cantarane, 24
37129 Verona
VAT number01541040232
Italian Fiscal Code93009870234
© 2024 | Verona University
******** CSS e script comuni siti DOL - frase 9957 ********p>