Unit | Credits | Academic sector | Period | Academic staff |
---|---|---|---|---|
1 - lezione | 7 | SECS-P/05-ECONOMETRICS | Secondo semestre |
Diego Lubian
|
3 - esercitazione | 2 | SECS-P/05-ECONOMETRICS | Secondo semestre |
Alessandro Bucciol
|
2 - lezione | 1 | SECS-P/05-ECONOMETRICS | not yet allocated |
Alessandro Bucciol
|
Module: 1 - lezione
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This is an introductory course in financial markets econometrics.
Module: 3 - esercitazione
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Module: 2 - esercitazione
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This is an introductory course in financial markets econometrics.
Module: 1 - lezione
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1. Financial assets, price and return
1.1 Empirical properties of financial returns
2. Portfolio choice
2.1 The efficient frontier
2.2 Statistical inference on the efficient frontier
3. Market equilibrium, risk and return
3.1 The Capital Asset Pricing Model (CAPM)
3.2 The econometrics of CAPM (time series)
3.3 The econometrics of CAPM (cross-section)
3.4 Extensions: Black-Litterman
4. Portfolio performance
Module: 3 - esercitazione
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Module: 2 - esercitazione
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1. Financial assets, price and return
1.1 Empirical properties of financial returns
2. Portfolio choice
2.1 The efficient frontier
2.2 Statistical inference on the efficient frontier
3. Market equilibrium, risk and return
3.1 The Capital Asset Pricing Model (CAPM)
3.2 The econometrics of CAPM (time series)
3.3 The econometrics of CAPM (cross-section)
3.4 Extensions: Black-Litterman
4. Portfolio performance
Module: 1 - lezione
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Written examination
Module: 3 - esercitazione
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Module: 2 - esercitazione
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Written examination
Author | Title | Publisher | Year | ISBN | Note |
James H. Stock, Mark W. Watson | Introduzione all'econometria (Edizione 4) | Pearson Education Italia | 2016 | 978-8-891-90124-8 |
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