Unit | Credits | Academic sector | Period | Academic staff |
---|---|---|---|---|
lezione | 8 | SECS-P/05-ECONOMETRICS | 2° sem lez |
Diego Lubian
|
esercitazione | 2 | SECS-P/05-ECONOMETRICS | 2° sem lez |
Laura Magazzini
|
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).
Textbook
Pastorello, S., Rischio e rendimento. Teoria finanziaria e applicazioni econometriche, Il Mulino, 2001.
Lectures
Lectures (60 h).
Web: http://dse.univr.it/lubian
Written examination.
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